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q-fin.TR2021★ 2 cited
How Robust are Limit Order Book Representations under Data Perturbation?
Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni +1
The success of machine learning models in the financial domain is highly reliant on the quality of the data representation. In this paper, we focus on the representation of limit o…
q-fin.TR2021
Towards Robust Representation of Limit Orders Books for Deep Learning Models
Yufei Wu, Mahmoud Mahfouz, Daniele Magazzeni +1
The success of deep learning-based limit order book forecasting models is highly dependent on the quality and the robustness of the input data representation. A significant body of…