DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

DOI10.1109/TSP.2019.2907260MaRDI QIDQ5238844zbMATH OpenWikidataFDO

Authors

Publication date 28 October 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1808.03668

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(10)

• Reinforcement learning and stochastic optimisation
• Spatiotemporal adaptive neural network for long-term forecasting of financial time series
• A deep learning approach to estimating fill probabilities in a limit order book
• Deep learning for market by order data
• DeepLOB
• Analysis and modeling of client order flow in limit order markets
• A generative model of a limit order book using recurrent neural networks
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
• Designing universal causal deep learning models: The geometric (Hyper)transformer
• A control architecture for fixed-wing aircraft based on the convolutional neural networks

Describes a project that uses

Uses Software

• TensorFlow

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