Universal features of price formation in financial markets: perspectives from Deep Learning

19 March 2018

Papers citing "Universal features of price formation in financial markets: perspectives from Deep Learning"

50 / 63 papers shown

Title
TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data Leonardo Berti Gjergji Kasneci AI4TS 47 0 0 12 Feb 2025
Dynamic graph neural networks for enhanced volatility prediction in financial markets Pulikandala Nithish Kumar Nneka Umeorah Alex Alochukwu 25 0 0 22 Oct 2024
Limit Order Book Simulation and Trade Evaluation with $K$ -Nearest-Neighbor Resampling Michael Giegrich Roel Oomen Christoph Reisinger 45 0 0 10 Sep 2024
HLOB -- Information Persistence and Structure in Limit Order Books Antonio Briola Silvia Bartolucci T. Aste 51 5 0 29 May 2024
A Geometric Explanation of the Likelihood OOD Detection Paradox Hamidreza Kamkari Brendan Leigh Ross Jesse C. Cresswell Anthony L. Caterini Rahul G. Krishnan Gabriel Loaiza-Ganem OODD 39 9 0 27 Mar 2024
Modelling crypto markets by multi-agent reinforcement learning J. Lussange Stefano Vrizzi Stefano Palminteri Boris Gutkin AIFin 35 0 0 16 Feb 2024
DeepTraderX: Challenging Conventional Trading Strategies with Deep Learning in Multi-Threaded Market Simulations Armand Mihai Cismaru 11 0 0 06 Feb 2024
Risk of Transfer Learning and its Applications in Finance Haoyang Cao Haotian Gu Xin Guo Mathieu Rosenbaum 34 0 0 06 Nov 2023
Dynamic financial processes identification using sparse regressive reservoir computers Fredy Vides Idelfonso B. R. Nogueira Lendy Banegas Evelyn Flores 21 2 0 18 Oct 2023
Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies Kieran Wood Samuel Kessler Stephen J. Roberts S. Zohren AI4TS 33 2 0 16 Oct 2023
Transformers versus LSTMs for electronic trading Paul Bilokon Yitao Qiu AI4TS AIFin 26 13 0 20 Sep 2023
Liquidity takers behavior representation through a contrastive learning approach Rui Ruan Emmanuel Bacry Jean-François Muzy 25 0 0 09 Jun 2023
Market Making with Deep Reinforcement Learning from Limit Order Books Hongli Guo Jianwu Lin Fanlin Huang OffRL 32 2 0 25 May 2023
Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting Adamantios Ntakaris Moncef Gabbouj Juho Kanniainen AI4TS 24 0 0 17 Apr 2023
Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets Peer Nagy Jan-Peter Calliess S. Zohren 29 3 0 20 Jan 2023
Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots M. Shabani M. Magris G. Tzagkarakis Juho Kanniainen Alexandros Iosifidis 35 5 0 26 Oct 2022
Chaotic Hedging with Iterated Integrals and Neural Networks Ariel Neufeld Philipp Schmocker 39 10 0 21 Sep 2022
Normalization effects on deep neural networks Jiahui Yu K. Spiliopoulos 14 9 0 02 Sep 2022
Estimating value at risk: LSTM vs. GARCH Weronika Ormaniec Marcin Pitera Sajad Safarveisi Thorsten Schmidt AIFin 24 1 0 21 Jul 2022
On the universality of the volatility formation process: when machine learning and rough volatility agree M. Rosenbaum Jianfei Zhang OOD AIFin AI4TS 14 7 0 28 Jun 2022
Compatible deep neural network framework with financial time series data, including data preprocessor, neural network model and trading strategy M. Ghahramani Hamid Esmaeili Najafabadi OOD AIFin 6 5 0 11 May 2022
Designing Universal Causal Deep Learning Models: The Geometric (Hyper)Transformer Beatrice Acciaio Anastasis Kratsios G. Pammer OOD 54 20 0 31 Jan 2022
Denoised Labels for Financial Time-Series Data via Self-Supervised Learning Yanqing Ma Carmine Ventre M. Polukarov NoLa 23 7 0 19 Dec 2021
Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture Kieran Wood Sven Giegerich Stephen J. Roberts S. Zohren AI4TS AIFin 21 21 0 16 Dec 2021
DMS, AE, DAA: methods and applications of adaptive time series model selection, ensemble, and financial evaluation Parley Ruogu Yang Ryan Lucas AI4TS 14 0 0 21 Oct 2021
How Robust are Limit Order Book Representations under Data Perturbation? Yufei Wu Mahmoud Mahfouz Daniele Magazzeni Manuela Veloso OOD 30 4 0 10 Oct 2021
Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow Ye-Sheen Lim D. Gorse GAN AI4TS 25 3 0 28 Sep 2021
Realised Volatility Forecasting: Machine Learning via Financial Word Embedding Eghbal Rahimikia S. Zohren S. Poon AIFin 40 11 0 01 Aug 2021
Graph-Based Learning for Stock Movement Prediction with Textual and Relational Data Qinkai Chen C. Robert AIFin 40 25 0 22 Jul 2021
AI in Finance: Challenges, Techniques and Opportunities LongBing Cao AIFin 41 241 0 20 Jul 2021
The Limit Order Book Recreation Model (LOBRM): An Extended Analysis Zijian Shi John Cartlidge 26 5 0 01 Jul 2021
Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection Kieran Wood Stephen J. Roberts S. Zohren 16 21 0 28 May 2021
Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units Zihao Zhang S. Zohren 23 24 0 21 May 2021
Computational Performance of Deep Reinforcement Learning to find Nash Equilibria C. Graf Viktor Zobernig Johannes Schmidt Claude Klöckl 20 4 0 26 Apr 2021
The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network Zijian Shi Yu Chen J. Cartlidge 25 10 0 02 Mar 2021
Deep Learning for Market by Order Data Zihao Zhang Bryan Lim S. Zohren 39 23 0 17 Feb 2021
Deep Reinforcement Learning for Active High Frequency Trading Antonio Briola J. Turiel Riccardo Marcaccioli Alvaro Cauderan T. Aste AIFin AI4TS 18 33 0 18 Jan 2021
Normalization effects on shallow neural networks and related asymptotic expansions Jiahui Yu K. Spiliopoulos 23 6 0 20 Nov 2020
A Deep Learning Framework for Predicting Digital Asset Price Movement from Trade-by-trade Data Qi Zhao 11 3 0 11 Oct 2020
Adversarial Examples in Deep Learning for Multivariate Time Series Regression Gautam Raj Mode K. A. Hoque AAML AI4TS 23 57 0 24 Sep 2020
DeepFolio: Convolutional Neural Networks for Portfolios with Limit Order Book Data A. Sangadiev Rodrigo Rivera-Castro K. Stepanov Andrey Poddubny Kirill Bubenchikov Nikita Bekezin Polina Pilyugina Evgeny Burnaev 13 4 0 27 Aug 2020
Deep Learning modeling of Limit Order Book: a comparative perspective Antonio Briola J. Turiel T. Aste 34 24 0 12 Jul 2020
Data science and AI in FinTech: An overview LongBing Cao Qiang Yang Philip S. Yu AIFin 34 88 0 10 Jul 2020
Weak error analysis for stochastic gradient descent optimization algorithms A. Bercher Lukas Gonon Arnulf Jentzen Diyora Salimova 36 4 0 03 Jul 2020
Learning a functional control for high-frequency finance Laura Leal Mathieu Laurière Charles-Albert Lehalle AIFin 26 20 0 17 Jun 2020
A generative adversarial network approach to calibration of local stochastic volatility models Christa Cuchiero Wahid Khosrawi Josef Teichmann GAN 16 69 0 05 May 2020
Industrial Forecasting with Exponentially Smoothed Recurrent Neural Networks M. Dixon AI4TS 31 14 0 09 Apr 2020
Deep Probabilistic Modelling of Price Movements for High-Frequency Trading Ye-Sheen Lim D. Gorse 9 5 0 31 Mar 2020
Machine Learning Algorithms for Financial Asset Price Forecasting Philip Ndikum AIFin 35 16 0 31 Mar 2020
Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow Ye-Sheen Lim D. Gorse 14 1 0 31 Mar 2020