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Ilia Zaznov, Julian Martin Kunkel, Atta Badii and Alfonso Dufour
This paper introduces a novel deep learning approach for intraday stock price direction prediction, motivated by the need for more accurate models to enable profitable algorithmic trading. The key problems addressed are effectively modelling complex limi...
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Joaquín Hernández-Fernández, Rodrigo Ortega-Toro and John R. Castro-Suarez
One route of exposure to SPAs is through bottled water since the polymers used to make plastic bottles contain these SPAs, which migrate from the plastic to the water. Solid-phase extraction (SPE), HPLC-MS, FTIR, and DSC are used to identify and quantify...
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Markus Frohmann, Manuel Karner, Said Khudoyan, Robert Wagner and Markus Schedl
Recently, various methods to predict the future price of financial assets have emerged. One promising approach is to combine the historic price with sentiment scores derived via sentiment analysis techniques. In this article, we focus on predicting the f...
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Jakub Kubiczek and Marcin Tuszkiewicz
A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows ...
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Apostolos Ampountolas
Over the past years, cryptocurrencies have drawn substantial attention from the media while attracting many investors. Since then, cryptocurrency prices have experienced high fluctuations. In this paper, we forecast the high-frequency 1 min volatility of...
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Faheem Aslam, Paulo Ferreira, Khurrum Shahzad Mughal and Beenish Bashir
During crises, stock market volatility generally rises sharply, and as consequence, spillovers are identified across markets. This study estimates the volatility spillover among twelve European stock markets representing all four regions of Europe. The d...
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Alexandre Aidov and Olesya Lobanova
Prior studies that examine the relation between market depth and bid?ask spread are often limited to the first level of the limit order book. However, the full limit order book provides important information beyond the first level about the depth and spr...
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Athanasios Tsagkanos, Konstantinos Gkillas, Christoforos Konstantatos and Christos Floros
The present research investigates the impact of trading volume on stock return volatility using data from the Greek banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the period 5 Ja...
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Espen Sirnes and Minh Thi Hong Dinh
It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers ?overreact? to order imbalance (OIB) by initially altering quotes s...
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Nouha Dkhili, Julien Eynard, Stéphane Thil and Stéphane Grieu
In a context of accelerating deployment of distributed generation in power distribution grid, this work proposes an answer to an important and urgent need for better management tools in order to ?intelligently? operate these grids and maintain quality of...
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