This is a summary of links featured on Quantocracy on Wednesday, 10/06/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Use Deep Order Flow Imbalance [Quantpedia]Order book information is crucial for traders, but it can be complex. With the numbers of stocks listed in stock exchanges, it is impossible to track all the available information for the human mind. Therefore, the order flows could be an interesting dataset for machine learning models. The novel research of Kolm, Turiel and Westray (2021) utilizes deep-learning for high-frequency return forecasts
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Studying Financial Idea “Infection Rates” [Alpha Architect]Previously, we have written about the Momentum of News, which highlights that lots of positive news can lead to future positive returns (without a look-ahead bias!). Todays post builds on the concept that news (and sentiment?) are predictive for returns which sounds intuitive. The writers of this paper apply the concept of disease transmission rates, and the average number of new infections