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Graph and tensor-train recurrent neural networks for high-dimensional models of limit order books.
Jacobo Roa-Vicens
Yao Lei Xu
Ricardo Silva
Danilo P. Mandic
Published in:
ICAIF (2022)
Keyphrases
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recurrent neural networks
high dimensional
reservoir computing
recurrent networks
nonlinear dynamic systems
echo state networks
neural network
cascade correlation
probabilistic model
similarity search
high order
directed graph
complex valued
feed forward
nearest neighbor
data points
social networks
machine learning