CPD Events

Do Spikes Make it Harder to Find Profitable Patterns in Limit Order Books

08 Jul 2021

About the event

The persistence of both trend and value effects at varying timescales presents complex challenges for understanding and predicting the behaviour of prices in limit order books. A further level of challenge has become increasingly apparent as markets have witnessed significantly greater numbers of spikes in prices; traded volumes and volatility; particularly during the current pandemic. Given the recent gyrations in global financial markets; predicting the timing; amplitude and duration of spikes has not received the attention that would appear to be warranted. This talk presents a novel approach to modelling spikes and explores how such a model sits naturally in an agentbased approach in order to gain greater insight into financial market behaviour.

CPD Provider

Fitch Learning

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Fitch Learning

Fitch Learning

Part of the Fitch Group, Fitch Learning partners with clients to enhance knowledge, skills and conduct. Fitch Learning is a global leader in training with experience of delivering specialised technical training at all levels to the financial community. Fitch Learning partner with clients to elevate knowledge and skills and enhance conduct. We work with 9 out of 10 of each of the largest Investment Banks, Asset Managers and Global Banks and through state-of-the-art training centres in London, New York, Hong Kong, Singapore and Dubai, and our leading distance learning portals, we train more than 20,000 delegates each year.

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