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Quantitative Finance Volume 15, 2015 - Issue 8: Special Issue on High Frequency Data Modeling in Finance
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Research Papers

Modelling high-frequency limit order book dynamics with support vector machines

Alec N. KerchevalDepartment of Mathematics, Florida State University, Tallahassee, FL, 32306, USA.Correspondence[email protected]
&
Yuan ZhangDepartment of Mathematics, Florida State University, Tallahassee, FL, 32306, USA.
Pages 1315-1329 | Received 24 Dec 2013, Accepted 21 Jan 2014, Published online: 02 Jun 2015

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