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Machine Learning for Forecasting Mid Price Movement using Limit Order
  Book Data

Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data

19 September 2018
Paraskevi Nousi
Avraam Tsantekidis
Nikolaos Passalis
Adamantios Ntakaris
J. Kanniainen
Anastasios Tefas
M. Gabbouj
Alexandros Iosifidis
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Papers citing "Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data"

7 / 7 papers shown
Title
Representation Learning of Limit Order Book: A Comprehensive Study and Benchmarking
Representation Learning of Limit Order Book: A Comprehensive Study and Benchmarking
Muyao Zhong
Yushi Lin
Peng Yang
AI4TS
53
0
0
04 May 2025
TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data
TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data
Leonardo Berti
Gjergji Kasneci
AI4TS
42
0
0
12 Feb 2025
Deep Limit Order Book Forecasting
Deep Limit Order Book Forecasting
Antonio Briola
Silvia Bartolucci
T. Aste
40
3
0
14 Mar 2024
LOB-Based Deep Learning Models for Stock Price Trend Prediction: A
  Benchmark Study
LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study
Matteo Prata
Giuseppe Masi
Leonardo Berti
Viviana Arrigoni
Andrea Coletta
Irene Cannistraci
Svitlana Vyetrenko
Paola Velardi
N. Bartolini
19
8
0
05 Jul 2023
Market Making with Deep Reinforcement Learning from Limit Order Books
Market Making with Deep Reinforcement Learning from Limit Order Books
Hongli Guo
Jianwu Lin
Fanlin Huang
OffRL
24
2
0
25 May 2023
Novel Modelling Strategies for High-frequency Stock Trading Data
Novel Modelling Strategies for High-frequency Stock Trading Data
Xuekui Zhang
Yuying Huang
Ke-Li Xu
Li Xing
16
15
0
30 Nov 2022
Feature Engineering for Mid-Price Prediction with Deep Learning
Feature Engineering for Mid-Price Prediction with Deep Learning
Adamantios Ntakaris
G. Mirone
J. Kanniainen
M. Gabbouj
Alexandros Iosifidis
OOD
25
44
0
10 Apr 2019
1