Benchmark dataset for mid-price forecasting of limit order book data with machine learning methods

Mid-Price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators

Ntakaris, Adamantios, (2018)

Predicting Jump Arrivals in Stock Prices Using Neural Networks with Limit Order Book Data

Mäkinen, Milla, (2018)

Forecasting jump arrivals in stock prices : new attention-based network architecture using limit order book data

Mäkinen, Ymir, (2019)