ArticleEntropy (Basel, Switzerland)2022
Mutual Information between Order Book Layers.
Article in Entropy (Basel, Switzerland), 2022. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 1 paper.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
The trial behind it
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Who cites it
1 citing paper in PubMed.
- The Linear Relationship Model with LASSO for Studying Stock Networks.Entropy (Basel, Switzerland) · 2022Article
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Authors and funding
4 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
The order book is a list of all current buy or sell orders for a given financial security. The rise of electronic stock exchanges introduced a debate about the relevance of the information it encapsulates of the activity of traders. Here, we approach this topic from a theoretical perspective, estimating the amount of mutual information between order book layers, i.e., different buy/sell layers, which are aggregated by buy/sell orders. We show that (i) layers are not independent (in the sense that the mutual information is statistically larger than zero), (ii) the mutual information between layers is small (compared to the joint entropy), and (iii) the mutual information between layers increases when comparing the uppermost layers to the deepest layers analyzed (i.e., further away from the market price). Our findings, and our method for estimating mutual information, are relevant to developing trading strategies that attempt to utilize the information content of the limit order book.
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Registered trials
Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.