6 citations · 6 across the 4 of their papers we have counts for
4 papers
Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation
Hamza Bodor, Laurent Carlier
The Queue-Reactive model introduced by Huang et al. (2015) has become a standard tool for limit order book modeling, widely adopted by both researchers and practitioners for its si…
A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes
Hamza Bodor, Laurent Carlier
In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order…
Stylized Facts and Market Microstructure: An In-Depth Exploration of German Bond Futures Market
Hamza Bodor, Laurent Carlier
This paper presents an in-depth analysis of stylized facts in the context of futures on German bonds. The study examines four futures contracts on German bonds: Schatz, Bobl, Bund…
Little Help Makes a Big Difference: Leveraging Active Learning to Improve Unsupervised Time Series Anomaly Detection
Hamza Bodor, Thai V. Hoang, Zonghua Zhang
Key Performance Indicators (KPI), which are essentially time series data, have been widely used to indicate the performance of telecom networks. Based on the given KPIs, a large se…