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Bayesian Inference for Limit Order Books by mamanema193 is a document available to read on EtoBox.

What is Bayesian Inference for Limit Order Books about?

The paper discusses a novel approach to reconstructing the limit order book (LOB) using sequential Bayesian inference to address information loss at exchange servers. The authors present an online algorithm that applies to historical data from major futures exchanges, demonstrating its effectiveness in inferring missing details in the LOB. This work aims to enhance trading strategies and market analysis by providing a probabilistic framework for understanding trader intentions and order dynamics.

Author

mamanema193

Language

EN