A deep learning approach to estimating fill probabilities in a limit order book
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Cites work
- A stochastic model for order book dynamics
- Classification-based financial markets prediction using deep neural networks
- Deep learning for finance: deep portfolios
- Deep learning for limit order books
- DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
- Empirical Analysis of Limit Order Markets
- The order book as a queueing system: average depth and influence of the size of limit orders
- Universal features of price formation in financial markets: perspectives from deep learning
Cited in
(12)- Deep reinforcement learning for the optimal placement of cryptocurrency limit orders
- Modelling high-frequency limit order book dynamics with support vector machines
- Online Learning in Limit Order Book Trade Execution
- A reinforcement learning approach to optimal execution
- Deep learning for market by order data
- Machine learning and corporate bond trading
- Deep learning for limit order books
- Encoding of high-frequency order information and prediction of short-term stock price by deep learning
- Learning multi-market microstructure from order book data
- Deep attentive survival analysis in limit order books: estimating fill probabilities with convolutional-transformers
- A generative model of a limit order book using recurrent neural networks
- The good, the bad, and latency: exploratory trading on Bybit and Binance
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