5 citations · 5 across the 3 of their papers we have counts for
Showing q-fin.TRShow all
2 papers · 1 filter
q-fin.TR2024
HLOB -- Information Persistence and Structure in Limit Order Books
Antonio Briola, Silvia Bartolucci, Tomaso Aste
We introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it `HLOB'. This architecture (i) exploits the information encod…
q-fin.TR2024★ 5 cited
Deep Limit Order Book Forecasting
Antonio Briola, Silvia Bartolucci, Tomaso Aste
We exploit cutting-edge deep learning methodologies to explore the predictability of high-frequency Limit Order Book mid-price changes for a heterogeneous set of stocks traded on t…