Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture
Release Time:2024-09-29 Hits:
Date of Publication: 2024-03-30
Journal: ARABIAN JOURNAL FOR SCIENCE AND ENGINEERING
Volume: 48
Issue: 8
Page Number: 9597-9618
ISSN: 2193-567X
Key Words: CONVOLUTIONAL NEURAL-NETWORKS; LIMIT ORDER BOOK; MEMORY; MODEL; PREDICTION; STOCK-PRICES; TIME-SERIES