Forecasting jump arrivals in stock prices : new attention-based network architecture using limit order book data
Ymir Mäkinen, Juho Kanniainen, Moncef Gabbouj and Alexandros Iosifidis
| Year of publication: |
2019
|
|---|---|
| Authors: | Mäkinen, Ymir ; Kanniainen, Juho ; Gabbouj, Moncef ; Iosifidis, Alexandros |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 12, p. 2033-2050
|
| Subject: | Attention mechanism | Convolutional networks | Limit order book data | Long short-term memory | Neural networks | Return jumps | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Neuronale Netze | Theorie | Theory | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1634277 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015123063