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 2013 IEEE Information Theory Workshop, ITW 2013, Sevilla, Spain, September 9-13, 2013. pages 1-5, IEEE, 2013. [doi]

Abstract

Abstract is missing.