Machine Learning for Forecasting Mid Price Movement using Limit Order
Book Data

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Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data

19 September 2018

Paraskevi Nousi

Avraam Tsantekidis

Nikolaos Passalis

Adamantios Ntakaris

Juho Kanniainen

Anastasios Tefas

Alexandros Iosifidis

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Papers citing "Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data"

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Title
An Efficient deep learning model to Predict Stock Price Movement Based on Limit Order Book Jiahao Yang Ran Fang Ming Zhang Jun Zhou 7 0 0 14 May 2025
Representation Learning of Limit Order Book: A Comprehensive Study and Benchmarking Muyao Zhong Yushi Lin Peng Yang AI4TS 90 0 0 04 May 2025
TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data Leonardo Berti Gjergji Kasneci AI4TS 195 1 0 12 Feb 2025
Deep Limit Order Book Forecasting Antonio Briola Silvia Bartolucci T. Aste 73 5 0 14 Mar 2024
Non-negative isomorphic neural networks for photonic neuromorphic accelerators Manos Kirtas Nikolaos Passalis N. Pleros Anastasios Tefas 28 0 0 02 Oct 2023
Leveraging Deep Learning and Online Source Sentiment for Financial Portfolio Management K. Srivatsan Loukia Avramelou Georgios Rodinos Maria Tzelepi Muzammal Naseer ... Manos Kirtas Pavlos Tosidis Avraam Tsantekidis Nikolaos Passalis Anastasios Tefas AIFin 58 2 0 23 Jul 2023
LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study Matteo Prata Giuseppe Masi Leonardo Berti Viviana Arrigoni Andrea Coletta Irene Cannistraci Svitlana Vyetrenko Paola Velardi N. Bartolini 110 11 0 05 Jul 2023
Market Making with Deep Reinforcement Learning from Limit Order Books Hongli Guo Jianwu Lin Fanlin Huang OffRL 143 2 0 25 May 2023
Feature Selection with Annealing for Forecasting Financial Time Series Hakan Pabuçcu Adrian Barbu AI4TS 96 4 0 03 Mar 2023
Novel Modelling Strategies for High-frequency Stock Trading Data Xuekui Zhang Yuying Huang Ke-Li Xu Li Xing 40 16 0 30 Nov 2022
FETILDA: An Effective Framework For Fin-tuned Embeddings For Long Financial Text Documents BolunNamirXia Vipula Rawte Mohammed J Zaki Aparna Gupta AI4TS 8 1 0 14 Jun 2022
Visualising Deep Network's Time-Series Representations Błażej Leporowski Alexandros Iosifidis FAtt AI4TS 29 1 0 12 Mar 2021
Feature Engineering for Mid-Price Prediction with Deep Learning Adamantios Ntakaris G. Mirone Juho Kanniainen Moncef Gabbouj Alexandros Iosifidis OOD 51 45 0 10 Apr 2019
Deep Adaptive Input Normalization for Time Series Forecasting Nikolaos Passalis Anastasios Tefas Juho Kanniainen Moncef Gabbouj Alexandros Iosifidis AI4TS OOD 43 9 0 21 Feb 2019
Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Data Nikolaos Passalis Anastasios Tefas Juho Kanniainen Moncef Gabbouj Alexandros Iosifidis AI4TS 61 29 0 24 Jan 2019