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prakulhiremath/LOB-Latent-Regimes

Identification and early detection of unobserved microstructure states in High-Frequency Limit Order Books using semi-parametric state-space models. Includes proofs of identifiability and lead-lag empirical analysis.

语言:Jupyter Notebook · GitHub 星标:18 · Fork:11

话题:hidden-markov-models · market-microstructure

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