Search Results for author: Almut Veraart

Found 1 papers, 1 papers with code

The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective

1 code implementation24 Nov 2022 Lorenzo Lucchese, Mikko Pakkanen, Almut Veraart

The performance of the deep learning models is strongly dependent on the choice of order book representation, and in this respect, the volume representation appears to have multiple practical advantages.

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