Extended Abstract: Neural Networks for Limit Order Books

By Justin A. Sirignano. 2016

4 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Finance, Management Science and Operations Research

Citations in the corpus

• A High Frequency Trade Execution Model for Supervised Learning (2017, unknown): “Following Kercheval and Zhang (2015); Sirignano (2016); Dixon (2017), we compose our feature set of five levels of prices, volumes and number of limit orders on both the ask and bid side of the book.”