A generative model of a limit order book using recurrent neural networks
Hanna Hultin, Henrik Hult, Alexandre Proutiere, Samuel Samama, Ala Tarighati
| Year of publication: |
2023
|
|---|---|
| Authors: | Hultin, Hanna ; Hult, Henrik ; Proutiere, Alexandre ; Samama, Samuel ; Tarighati, Ala |
| Subject: | Machine learning | Generative modelling | High-frequency trading | Limit order book | Recurrent neural networks | Neuronale Netze | Neural networks | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Künstliche Intelligenz | Artificial intelligence | Theorie | Theory | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2023.2205583 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014304400