Open AccessThe LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network
Author(s) -
Zijian Shi,
Yu Chen,
John Cartlidge
Publication year - 2021
Publication title -
proceedings of the ... aaai conference on artificial intelligence
Language(s) - English
Resource type - Journals
eISSN - 2374-3468
pISSN - 2159-5399
DOI - 10.1609/aaai.v35i1.16133
Subject(s) - computer science , deep learning , recurrent neural network , artificial intelligence , artificial neural network , machine learning