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The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network.
Zijian Shi
Yu Chen
John Cartlidge
Published in:
CoRR (2021)
Keyphrases
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recurrent neural networks
probabilistic model
computational model
neural network
experimental data
ordinary differential equations
neural model
genetic algorithm
latent variables
feed forward