Price Jump Prediction in Limit Order Book
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- Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2017. "Benchmark Dataset for Mid-Price Prediction of Limit Order Book data," Papers 1705.03233, arXiv.org, revised May 2017.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-04-17 (All new papers)
- NEP-FOR-2012-04-17 (Forecasting)
- NEP-MST-2012-04-17 (Market Microstructure)
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