Deep Learning for Market by Order Data

DOI10.1080/1350486X.2021.1967767zbMath1475.91347arXiv2102.08811OpenAlexW3196479566MaRDI QIDQ5165005

Bryan Lim, Stefan Zohren, Zihao Zhang

Publication date: 15 November 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.08811

zbMATH Keywords

attentiondeep learninglong short-term memorylimit order booksmarket by order data

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Related Items (1)

Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book

Uses Software

• TensorFlow
• Adam
• Transformer-XL
• DeepLOB

Cites Work

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• Do open market operations matter?
• Limit order books
• Universal features of price formation in financial markets: perspectives from deep learning
• DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
• The Kolmogorov-Smirnov Test for Goodness of Fit

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