A generative model of a limit order book using recurrent neural networks
Year of publication: |
2023
|
---|---|
Authors: | Hultin, Hanna ; Hult, Henrik ; Proutiere, Alexandre ; Samama, Samuel ; Tarighati, Ala |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 6, p. 931-958
|
Subject: | Machine learning | Generative modelling | High-frequency trading | Limit order book | Recurrent neural networks | Neuronale Netze | Neural networks | Theorie | Theory | Wertpapierhandel | Securities trading | Elektronisches Handelssystem | Electronic trading | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Künstliche Intelligenz | Artificial intelligence | Prognoseverfahren | Forecasting model |
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