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Deep Learning for Market by Order Data
- Bostonian 5y agoI meant to post the arXiv link: https://arxiv.org/abs/2102.08811 https://arxiv.org/abs/2102.08811 . Also published in Applied Mathematical Finance. High-frequency trading firms don't disclose their models, but I'd guess that they look at such things. The ability of the limit order book [LOB] to predict returns has been studied. The LOB, consisting of bid and offer sizes at various price levels, is the result of individual orders, which is what this paper studies. The authors have other machine-learning-in-finance papers on arXiv.