On the Evaluation of Intraday Market Quality in the Limit-Order Book Markets : A Collaborative Filtering Approach

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Summary, etc.：: This study proposes a methodology for evaluating market quality of individual stocks in the high-frequency domain (short term) by applying a recommend...

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Material Type: 図書
Title: On the Evaluation of Intraday Market Quality in the Limit-Order Book Markets : A Collaborative Filtering Approach
Author/Editor: Hayashi, Takaki
Takahashi, Makoto
Author Heading: Hayashi, Takaki
Takahashi, Makoto
Publication, Distribution, etc.: 法政大学イノベーション・マネジメント研究センター
Publication Date: 2021-06-08
Publication Date (W3CDTF): 2021-06-08
Periodical title: 法政大学イノベーション・マネジメント研究センターワーキングペーパーシリーズ
No. or year of volume/issue: 239
Volume: 239
Pages: 1-32
Text Language Code: eng
Subject Heading: Collaborative filtering
high-frequency data
latent factor models
limit-order book
liquidity
market quality
matrix completion
volatility
recommender systems
Target Audience: 一般
Note (General): 出版タイプ： VoR
イノベーション・マネジメント研究センターの許諾済。引用には出典を明記してください。
Format (IMT): application/pdf
Source: imWP_239_p1.pdf （fulltext）
https://hosei.ecats-library.jp/da/repository/00024352/imWP_239_p1.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 法政大学 : 法政大学学術機関リポジトリ