Mid-Price Prediction in a Limit Order Book

2014 ◽  
Author(s):  
Deepan Palguna ◽  
Ilya Pollak
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction

scholarly journals Using Deep Learning for price prediction by exploiting stationary limit order book features

2020 ◽  
Vol 93 ◽  
pp. 106401 ◽  
Author(s):  
Avraam Tsantekidis ◽  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
...  
Keyword(s):  
Deep Learning ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction

Mid-Price Prediction in a Limit Order Book

2016 ◽  
Vol 10 (6) ◽  
pp. 1083-1092 ◽  
Author(s):  
Deepan Palguna ◽  
Ilya Pollak
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction

Price Prediction with CNN and Limit Order Book Data

2018 ◽  
pp. 124-135
Author(s):  
Jaime Niño ◽  
Andrés Arévalo ◽  
Diego Leon ◽  
German Hernandez ◽  
Javier Sandoval
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction

scholarly journals Temporal logistic neural Bag-of-Features for financial time series forecasting leveraging limit order book data

2020 ◽  
Vol 136 ◽  
pp. 183-189 ◽  
Author(s):  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
Alexandros Iosifidis
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Limit Order Book ◽  
Time Series Forecasting ◽  
Order Book ◽  
Limit Order ◽  
Bag Of Features ◽  
Financial Time
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