10 citations · 42 across the 20 of their papers we have counts for
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Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
Abdul Rahman, Neelesh Upadhye
In high frequency trading, accurate prediction of Order Flow Imbalance (OFI) is crucial for understanding market dynamics and maintaining liquidity. This paper introduces a hybrid…
Approximations Related to Tempered Stable Distributions
Kalyan Burman, Neelesh S Upadhye, Palaniappan Vellaisamy
In this article, we first obtain, for the Kolmogorov distance, an error bound between a tempered stable and a compound Poisson distribution and also an error bound between a temper…
Covariance Identities and Variance Bounds for Infinitely Divisible Random Variables and Their Applications
Kalyan Barman, Neelesh S Upadhye, Palaniappan Vellaisamy
In this article, we establish a general covariance identity for infinitely divisible distributions (IDD). Using this result, we derive Cacoullos type variance bounds for the IDD. A…