38 citations · 93 across the 6 of their papers we have counts for
8 papers
UQ-LOB: Uncertainty-Aware Limit Order Book Mid-Price Forecasting
Derrick Gilchrist Edward Manoharan, Eljas Linna, Kestutis Baltakys +2
Forecasting short-horizon mid-price movements from limit order book (LOB) data is central to algorithmic trading, yet most deep LOB forecasters are point predictors: they output a…
Repurposing Deep Limit Order Book Forecasting for Scenario-Conditioned Market Impact Modeling
Eljas Linna, Kestutis Baltakys, Derrick Manoharan +2
Deep Limit Order Book forecasting models capture nonlinear market dynamics, but their ability to quantify the effects of counterfactual order book messages has not been systematica…
LOBERT: Generative AI Foundation Model for Limit Order Book Messages
Eljas Linna, Kestutis Baltakys, Alexandros Iosifidis +1
Modeling the dynamics of financial Limit Order Books (LOB) at the message level is challenging due to irregular event timing, rapid regime shifts, and the reactions of high-frequen…
Clusters of investors around Initial Public Offering
Margarita Baltakienė, Kęstutis Baltakys, Juho Kanniainen +2
The complex networks approach has been gaining popularity in analysing investor behaviour and stock markets, but within this approach, initial public offerings (IPO) have barely be…
Maximum entropy approach to link prediction in bipartite networks
M. Baltakiene, K. Baltakys, D. Cardamone +5
Within network analysis, the analytical maximum entropy framework has been very successful for different tasks as network reconstruction and filtering. In a recent paper, the same…
Computational Analysis of the structural properties of Economic and Financial Networks
Frank Emmert-Streib, Aliyu Musa, Kestutis Baltakys +5
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among ec…
Facebook drives behavior of passive households in stock markets
Milla Siikanen, Kęstutis Baltakys, Juho Kanniainen +3
Recent studies using data on social media and stock markets have mainly focused on predicting stock returns. Instead of predicting stock price movements, we examine the relation be…
Multilayer Aggregation with Statistical Validation: Application to Investor Networks
Kęstutis Baltakys, Juho Kanniainen, Frank Emmert-Streib
Multilayer networks are attracting growing attention in many fields, including finance. In this paper, we develop a new tractable procedure for multilayer aggregation based on stat…