The short-term predictability of returns in order book markets: A deep learning perspective-Reference-Cited by-同舟云学术

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The short-term predictability of returns in order book markets: A deep learning perspective

Published:2024-10 Issue:4 Volume:40 Page:1587-1621
ISSN:0169-2070
Container-title:International Journal of Forecasting
language:en
Short-container-title:International Journal of Forecasting

Author:

Lucchese Lorenzo^ORCID,Pakkanen Mikko S.,Veraart Almut E.D.

Funder

EPSRC

Publisher

Elsevier BV

Reference43 articles.

1. Understanding the stakes of high-frequency trading;Abergel;The Journal of Trading,2014

2. How and when are high-frequency stock returns predictable?;Aït-Sahalia,2022

3. Hawkes model for price and trades high-frequency dynamics;Bacry;Quantitative Finance,2014

4. Representation learning: A review and new perspectives;Bengio;IEEE Transactions on Pattern Analysis and Machine Intelligence (TPAMI),2013

5. ABIDES: Towards high-fidelity multi-agent market simulation;Byrd,2020

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1. Deep Learning Option Price Movement;Risks;2024-06-04

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