The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network
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Cited by:
- Zijian Shi & John Cartlidge, 2021. "The Limit Order Book Recreation Model (LOBRM): An Extended Analysis," Papers 2107.00534, arXiv.org.
- Zacharia Issa & Blanka Horvath & Maud Lemercier & Cristopher Salvi, 2023. "Non-adversarial training of Neural SDEs with signature kernel scores," Papers 2305.16274, arXiv.org.
- Zijian Shi & John Cartlidge, 2023. "Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology," Papers 2303.00080, arXiv.org.
- Xianfeng Jiao & Zizhong Li & Chang Xu & Yang Liu & Weiqing Liu & Jiang Bian, 2023. "Microstructure-Empowered Stock Factor Extraction and Utilization," Papers 2308.08135, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2021-03-15 (Big Data)
- NEP-CMP-2021-03-15 (Computational Economics)
- NEP-MST-2021-03-15 (Market Microstructure)
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