Convolutional neural networks applied to high-frequency market microstructure forecasting.
Jonathan DoeringMichael FairbankSheri MarkosePublished in: CEEC (2017)
Keyphrases
- high frequency
- low frequency
- high resolution
- convolutional neural networks
- wavelet transform
- subband
- visual quality
- wavelet coefficients
- low pass
- wavelet domain
- stock market
- frequency band
- high frequencies
- image compression
- motion estimation
- discrete wavelet transform
- wavelet decomposition
- high frequency components
- multiresolution