The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network

2 March 2021

Papers citing "The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network"

4 / 4 papers shown

Title
Non-adversarial training of Neural SDEs with signature kernel scores Zacharia Issa Blanka Horvath M. Lemercier C. Salvi AI4TS 43 24 0 25 May 2023
The Limit Order Book Recreation Model (LOBRM): An Extended Analysis Zijian Shi John Cartlidge 21 5 0 01 Jul 2021
Recurrent Neural Networks for Multivariate Time Series with Missing Values Zhengping Che S. Purushotham Kyunghyun Cho David Sontag Yan Liu AI4TS 246 1,900 0 06 Jun 2016
Effective Approaches to Attention-based Neural Machine Translation Thang Luong Hieu H. Pham Christopher D. Manning 218 7,929 0 17 Aug 2015