Search Results for author: Yufei Wu

Found 3 papers, 2 papers with code

Towards Robust Representation of Limit Orders Books for Deep Learning Models

no code implementations10 Oct 2021 Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni, Manuela Veloso

The success of deep learning-based limit order book forecasting models is highly dependent on the quality and the robustness of the input data representation.

BIG-bench Machine Learning

How Robust are Limit Order Book Representations under Data Perturbation?

1 code implementation10 Oct 2021 Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni, Manuela Veloso

The success of machine learning models in the financial domain is highly reliant on the quality of the data representation.

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