"The LOB Recreation Model: Predicting the Limit Order Book from TAQ History ..."

Zijian Shi, Yu Chen, John Cartlidge (2021)

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DOI: —

access: open

type: Informal or Other Publication

metadata version: 2021-03-04

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  - electronic edition @ arxiv.org (open access)
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  dblp key:
  - journals/corr/abs-2103-01670
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  persistent URL:
  - https://dblp.org/rec/journals/corr/abs-2103-01670
Zijian Shi, Yu Chen, John Cartlidge:
The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network. CoRR abs/2103.01670 (2021)

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