SSRNTrading, Microstructure & Execution
Market Liquidity Estimation with Machine Learning
Machine learning is used to estimate the average daily bid-ask spread in the US and Chinese stock markets, enhancing performance by capturing more raw data and utilizing learned nonlinear relationships.
Featured in No. 30 on 20 Dec 2023 ·
- Released
- 3 Mar 2023
- First featured
- No. 30 · 20 Dec 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4666684
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