Can I read Deep Learning with Market by Order Data on EtoBox?
Deep Learning with Market by Order Data by Space :3 is a document available to read on EtoBox.
What is Deep Learning with Market by Order Data about?
The paper discusses the use of Market by Order (MBO) data for forecasting high-frequency price movements, highlighting its potential as a complementary source of information to limit order book (LOB) data. The authors introduce a deep learning model that utilizes MBO data, demonstrating that ensembles of MBO and LOB models can improve forecasting accuracy. This research fills a gap in the literature by being the first to apply MBO data in predictive modeling for market movements.
- Author
- Space :3
- Language
- EN