Showing 2020Show all
2 papers · 1 filter
q-fin.ST2020
Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
Ye-Sheen Lim, Denise Gorse
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the micro…
q-fin.ST2020
Deep Probabilistic Modelling of Price Movements for High-Frequency Trading
Ye-Sheen Lim, Denise Gorse
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading syste…