DeepLOB: Deep convolutional neural networks for limit order books
We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilizes convolutional filters to capture the spatial structure of the LOBs as well as long short-term memory modules to capture longer time dependencies. The p...
Main Authors: | , , |
---|---|
Format: | Journal article |
Published: |
IEEE
2019
|