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 |
| 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 |
Online Resource