Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data
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- Alec N. Kercheval & Yuan Zhang, 2015. "Modelling high-frequency limit order book dynamics with support vector machines," Quantitative Finance, Taylor & Francis Journals, vol. 15(8), pages 1315-1329, August.
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More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BIG-2019-02-04 (Big Data)
- NEP-CMP-2019-02-04 (Computational Economics)
- NEP-ECM-2019-02-04 (Econometrics)
- NEP-ETS-2019-02-04 (Econometric Time Series)
- NEP-FOR-2019-02-04 (Forecasting)
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