Linear Model (GLM), Gradient Boosting Machine (GBM), Artificial Neural Networks (ANN), and a unique hybrid model that …

market microstructure models struggle to deal with. We discover that the price movement is predictable, deep neural networks …

We extend recurrent neural networks to include several flexible timescales for each dimension of their output, which … ability of vanilla and extended long short-term memory networks (LSTMs) to predict the intraday volatility of a collection of …

combines features from Convolutional Neural Networks (CNNs) and Bidirectional Long Short-Term Memory (Bi-LSTM) as base learners …