118 citations · 167 across the 15 of their papers we have counts for
4 papers · 1 filter
Long-range Auto-correlations in Limit Order Book Markets: Inter- and Cross-event Analysis
Martin Magris, Jiyeong Kim, Esa Rasanen +1
Long-range correlation in financial time series reflects the complex dynamics of the stock markets driven by algorithms and human decisions. Our analysis exploits ultra-high freque…
Implied volatility smile dynamics in the presence of jumps
Martin Magris, Perttu Barholm, Juho Kanniainen
The main purpose of this work is to examine the behavior of the implied volatility smiles around jumps, contributing to the literature with a high-frequency analysis of the smile d…
Tensor Representation in High-Frequency Financial Data for Price Change Prediction
Dat Thanh Tran, Martin Magris, Juho Kanniainen +2
Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders…
Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods
Adamantios Ntakaris, Martin Magris, Juho Kanniainen +2
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the i…