Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book
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- Alec N. Kercheval & Yuan Zhang, 2015. "Modelling high-frequency limit order book dynamics with support vector machines," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1315-1329, August.
- Justin A. Sirignano, 2019. "Deep learning for limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 19(4), pages 549-570, April.
- Álvaro Arroyo & Álvaro Cartea & Fernando Moreno-Pino & Stefan Zohren, 2024. "Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers," Quantitative Finance, Taylor & Francis Journals, vol. 24(1), pages 35-57, January.
- Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018. "Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 852-866, December.
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This paper has been announced in the following NEP Reports:- NEP-IPR-2024-10-14 (Intellectual Property Rights)
- NEP-MST-2024-10-14 (Market Microstructure)
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