Search Results for author: Frank Fabozzi

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Beyond the Bid-Ask: Strategic Insights into Spread Prediction and the Global Mid-Price Phenomenon

no code implementations17 Apr 2024 Yifan He, Abootaleb Shirvani, Barret Shao, Svetlozar Rachev, Frank Fabozzi

This study introduces novel concepts in the analysis of limit order books (LOBs) with a focus on unveiling strategic insights into spread prediction and understanding the global mid-price (GMP) phenomenon.

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