Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733)
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scientific article; zbMATH DE number 7247990
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| English | Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data |
scientific article; zbMATH DE number 7247990 |
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Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (English)
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16 September 2020
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return jumps
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limit order book data
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neural networks
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convolutional networks
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long short-term memory
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attention mechanism
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0.7832701206207275
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0.7616596221923828
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0.754534900188446
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0.714855432510376
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0.7013578414916992
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