Non-parametric prediction of the mid-price dynamics in a limit order book

Deepan Palguna, Ilya Pollak. Non-parametric prediction of the mid-price dynamics in a limit order book. In IEEE Statistical Signal Processing Workshop, SSP 2012, Ann Arbor, MI, USA, August 5-8, 2012. pages 896-899, IEEE, 2012. [doi]

Abstract

Abstract is missing.