1. An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book. (2025). Zhang, Ming ; Fang, Ran ; Yang, Jiahao ; Zhou, Jun.
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2. Limit Order Book Simulations: A Review. (2024). Firoozye, Nikan ; Treleaven, Philip ; Jain, Konark ; Kochems, Jonathan.
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3. Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies. (2024). Roberts, Stephen J ; Zohren, Stefan ; Kessler, Samuel ; Wood, Kieran.
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4. Transformers versus LSTMs for electronic trading. (2023). Qiu, Yitao ; Bilokon, Paul.
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5. Credit Scoring with Drift Adaptation Using Local Regions of Competence. (2022). Doumpos, Michalis ; Nikolaidis, Dimitrios.
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6. A Pricing Method in a Constrained Market with Differential Informational Frameworks. (2022). Padilla, Pablo ; Pealoza, Ivan.
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7. Deep Prediction Of Investor Interest: a Supervised Clustering Approach. (2021). Challet, Damien ; Barreau, Baptiste ; Carlier, Laurent.
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8. Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection. (2021). Roberts, Stephen ; Zohren, Stefan ; Wood, Kieran.
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9. Forecasting high-frequency financial time series: an adaptive learning approach with the order book data. (2021). Yang, Parley Ruogu.
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10. Deep Prediction of Investor Interest: a Supervised Clustering Approach. (2021). Challet, Damien ; Carlier, Laurent ; Barreau, Baptiste.
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11. Comparison of machine learning methods for financial time series forecasting at the examples of over 10 years of daily and hourly data of DAX 30 and S&P 500. (2020). Ersan, Deniz ; Nishioka, Chifumi ; Scherp, Ansgar.
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12. A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models. (2020). Khosrawi, Wahid ; Teichmann, Josef ; Cuchiero, Christa.
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13. A Deep Learning Framework for Predicting Digital Asset Price Movement from Trade-by-trade Data. (2020). Zhao, QI.
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14. DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data. (2020). Rivera-Castro, Rodrigo ; Pilyugina, Polina ; Bekezin, Nikita ; Stepanov, Kirill ; Bubenchikov, Kirill ; Burnaev, Evgeny ; Poddubny, Andrey ; Sangadiev, Aiusha.
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15. Ascertaining price formation in cryptocurrency markets with DeepLearning. (2020). Chung, Waichung ; Basios, Michail ; Li, Lingbo ; Kanthan, Leslie ; Wu, Fan ; Fang, Fan ; Ventre, Carmine.
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16. Deep Learning for Financial Applications : A Survey. (2020). Sezer, Omer Berat ; Gudelek, Mehmet Ugur ; Ozbayoglu, Ahmet Murat.
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17. Bounds on Multi-asset Derivatives via Neural Networks. (2020). de Gennaro, Luca ; Bernard, Carole.
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18. Enhancing Time Series Momentum Strategies Using Deep Neural Networks. (2020). Roberts, Stephen ; Zohren, Stefan ; Lim, Bryan.
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19. DeepLOB: Deep Convolutional Neural Networks for Limit Order Books. (2020). Zhang, Zihao ; Roberts, Stephen ; Zohren, Stefan.
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20. Exploring the predictability of range‐based volatility estimators using recurrent neural networks. (2019). Gall, Jozsef ; Petnehazi, Gabor.
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21. Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data. (2019). Mkinen, Ymir ; Gabbouj, Moncef ; Kanniainen, Juho ; Iosifidis, Alexandros.
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22. Order flow analysis of cryptocurrency markets. (2019). Silantyev, Eduard.
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23. Deep Prediction Of Investor Interest: a Supervised Clustering Approach. (2019). Carlier, Laurent ; Challet, Damien ; Barreau, Baptiste.
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24. Trend Prediction Classification for High Frequency Bitcoin Time Series with Deep Learning. (2019). Shintate, Takuya ; Pichl, Luka.
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25. Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019. (2019). Sezer, Omer Berat ; Gudelek, Mehmet Ugur ; Ozbayoglu, Ahmet Murat.
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26. Deep Reinforcement Learning in Cryptocurrency Market Making. (2019). Sadighian, Jonathan.
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27. An intelligent financial portfolio trading strategy using deep Q-learning. (2019). Sim, Min Kyu ; Park, Hyung Jun ; Gu, Dong.
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28. Curriculum Learning in Deep Neural Networks for Financial Forecasting. (2019). Gajewar, Amita ; Koenecke, Allison.
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29. Feature Engineering for Mid-Price Prediction with Deep Learning. (2019). Gabbouj, Moncef ; Kanniainen, Juho ; Mirone, Giorgio ; Iosifidis, Alexandros ; Ntakaris, Adamantios.
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30. The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Yue, YE ; Kanniainen, Juho.
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31. BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books. (2018). Zhang, Zihao ; Roberts, Stephen ; Zohren, Stefan.
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32. Deep Learning can Replicate Adaptive Traders in a Limit-Order-Book Financial Market. (2018). Cliff, Dave ; le Calvez, Arthur.
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33. Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data. (2018). Gabbouj, Moncef ; Makinen, Milla ; Kanniainen, Juho ; Iosifidis, Alexandros.
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1. (In)Frequently traded corporate bonds and pricing implications of liquidity dry-ups. (2025). Ivashchenko, Alexey.
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2. Do financial markets value corporate culture?. (2025). Nguyen, Harvey ; Tran, Thanh ; Pham, Mia Hang.
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3. On the performance of volatility-managed equity factors — International and further evidence. (2025). Schwarz, Patrick.
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4. Ethereums Merge: Market liquidity, efficiency and volatility in the Proof of Stake Era. (2025). Suardi, Sandy ; Xu, Caihong ; Liu, Bin ; Prodromou, Tina.
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5. Futures trading costs and market microstructure invariance: Identifying bet activity. (2024). Norden, Lars L ; Xu, Caihong ; Hou, Ai Jun.
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6. Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Shi, Shimeng ; Zhai, Jia.
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7. On the robust drivers of cryptocurrency liquidity: the case of Bitcoin. (2024). , Walid.
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8. Investor attention and cryptocurrency market liquidity: a double-edged sword. (2024). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Li, Tong ; Yao, Shouyu.
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9. Size Discount and Size Penalty: Trading Costs in Bond Markets. (2024). Pinter, Gabor ; Zou, Junyuan ; Wang, Chaojun.
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10. The Effects of the Introduction of Volume-Based Liquidity Constraints in Portfolio Optimization with Alternative Investments. (2024). Funari, Stefania ; Basso, Antonella ; Visentin, Guglielmo Alessandro ; Barro, Diana.
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11. Siphoned apart: A portfolio perspective on order flow segmentation. (2024). Baldauf, Markus ; Mollner, Joshua ; Yueshen, Bart Zhou.
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12. Betting Against (Bad) Beta. (2024). Herculano, Miguel C.
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13. Anomalous diffusion and price impact in the fluid-limit of an order book. (2024). Gebbie, Tim ; Diana, Derick.
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14. Large Bets and Stock Market Crashes. (2023). Obizhaeva, Anna A ; Kyle, Albert S.
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15. Deep reinforcement trading with predictable returns. (2023). Tantari, Daniele ; Brini, Alessio.
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16. Trader positions and aggregate portfolio demand. (2023). Onur, Esen ; Tuzun, Tugkan ; Roberts, John S.
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17. Bank solvency stress tests with fire sales. (2023). Summer, Martin ; Breuer, Thomas ; Uroevi, Branko.
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18. The impact of high speed quoting on execution risk dynamics: Evidence from interest rate futures markets. (2022). Williams, Julian ; Malagon, Juliana ; Nie, Jing.
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19. Does time-varying illiquidity matter for the Indian stock market? Evidence from high-frequency data. (2022). Bhattacharya, Sharad ; Jha, Sumit Kumar.
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20. Benefits of investing in cryptocurrencies when liquidity is a factor. (2022). Santoli, Marco ; Quintana, David ; Moreno, David.
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21. Liquidity in the global currency market. (2022). Santucci de Magistris, Paolo ; Ranaldo, Angelo.
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22. Measuring commodity market quality. (2022). Prokopczuk, Marcel ; Lauter, Tobias.
    In: Journal of Banking & Finance.
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23. Small is beautiful? How the introduction of mini futures contracts affects the regular contracts. (2022). Greppmair, Stefan ; Theissen, Erik.
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24. Size discount and size penalty: trading costs in bond markets. (2022). Pinter, Gabor ; Zou, Junyuan ; Wang, Chaojun.
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25. Bank Solvency Stress Tests with Fire Sales (Thomas Breuer, Martin Summer, Branko Urošević). (2021). Summer, Martin ; Breuer, Thomas ; Uroevi, Branko.
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26. Does it pay to follow anomalies research? Machine learning approach with international evidence. (2021). Tobek, Ondrej ; Hronec, Martin.
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27. What drives the liquidity of cryptocurrencies? A long-term analysis. (2021). Theissen, Erik ; Mestel, Roland ; Brauneis, Alexander.
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28. Is competition beneficial? The case of exchange traded funds. (2021). Eugster, Nicolas ; Kharma, Celine.
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29. Fire‐Sale Spillovers and Systemic Risk. (2021). Eisenbach, Thomas ; Duarte, Fernando.
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30. Are trading invariants really invariant? Trading costs matter. (2020). Lillo, Fabrizio ; Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Bucci, Frederic.
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31. State-Dependent Stock Liquidity Premium: The Case of the Warsaw Stock Exchange. (2020). Stereczak, Szymon.
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32. Fund tradeoffs. (2020). Stambaugh, Robert ; Pastor, Lubos ; Taylor, Lucian A.
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33. Microstructure invariance in U.S. stock market trades. (2020). Tuzun, Tugkan ; Obizhaeva, Anna A ; Kyle, Albert S.
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34. Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets. (2020). hu, zhepeng ; Serra, Teresa ; Garcia, Philip ; Mallory, Mindy.
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35. Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity. (2019). Sun, Edward ; Chen, Yi-Ting ; Kruse, Timm.
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36. Are trading invariants really invariant? Trading costs matter. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Bucci, Frederic ; Lillo, Fabrizio.
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37. Short-term trading skill: An analysis of investor heterogeneity and execution quality. (2019). Sotiropoulos, Michael G ; Salam, Mehmet ; Moallemi, Ciamac C.
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38. One country, two systems? The heavy-tailedness of Chinese A- and H- share markets. (2019). Chen, Zhimin ; Ibragimov, Rustam.
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39. Strategic fire-sales and price-mediated contagion in the banking system. (2019). Braouezec, Yann ; Wagalath, Lakshithe.
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40. Taking regulation seriously: fire sales under solvency and liquidity constraints. (2019). lepore, caterina ; Coen, Jamie ; Schaanning, Eric.
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41. Are trading invariants really invariant? Trading costs matter. (2019). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fr'ed'eric Bucci, ; Lillo, Fabrizio.
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42. Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Cont, Rama ; Sirignano, Justin.
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43. Time-varying volatility and the power law distribution of stock returns. (2018). Warusawitharana, Missaka.
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44. Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Cont, Rama ; Sirignano, Justin.
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