A one-level limit order book model with memory and variable spread

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Sequence classification of the limit order book using recurrent neural networks (2017, methodology): “Attempts to relax the Markovian assumption, using for example the ’heavy traffic’ approximation approach (Cont and de Larrard, 2010; Chavez-Casillas and Figueroa-Lopez, 2017) are best suited for meso-scale analysis of the price movements, but not micro-scale.”
A High Frequency Trade Execution Model for Supervised Learning (2017, unknown): “Attempts to relax the Markovian assumption, using for example the ’heavy traffic’ approximation approach (Cont and de Larrard, 2010; Chavez-Casillas and Figueroa-Lopez, 2017) are best suited for meso-scale analysis of the price movements, but not micro-scale.”