[R-SIG-Finance] Endorsement for arxiv q-fin

[Anton Antonov]

Dear list,

 

I am looking for a submission endorsement on arxiv.org (q-fin, market microstructure). The paper is titled “CME Iceberg Order Detection and Prediction” and is a joint work with a colleague of mine. We present an algorithm that operates on CME order flow, detecting hidden liquidity. Next, a predictive model is built, accounting for partially executed and cancelled orders. All reported quantities and estimates were built using R.

Let me know if you can help us with the endorsement (or if you’re interested in the topic), I’ll reach out and share the article and the endorsement URL. Your help (as well as comments or recommendations) is greatly appreciated.

 

Best regards,

Anton Antonov, PhD

Lead Quantitative Analyst at dxFeed Solutions

 


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