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Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture

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Date of Publication:2024-03-30

Journal:ARABIAN JOURNAL FOR SCIENCE AND ENGINEERING

Volume:48

Issue:8

Page Number:9597-9618

ISSN No.:2193-567X

Key Words:CONVOLUTIONAL NEURAL-NETWORKS; LIMIT ORDER BOOK; MEMORY; MODEL; PREDICTION; STOCK-PRICES; TIME-SERIES

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