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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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发表时间：2024-03-30

发表刊物：ARABIAN JOURNAL FOR SCIENCE AND ENGINEERING

卷号：48

期号：8

页面范围：9597-9618

ISSN号：2193-567X

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

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