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"The LOB Recreation Model: Predicting the Limit Order Book from TAQ History ..."
Zijian Shi, Yu Chen, John Cartlidge (2021)
- 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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