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[1] HLOB Information Persistence and Structure in Limit Order Books
HLOB信息持久性与极限序簿结构
来源:ARXIV_20240530
[1] HLOB Information Persistence and Structure in Limit Order Books
标题:HLOB信息持久性与极限序簿结构
作者:Antonio Briola, Silvia Bartolucci, Tomaso Aste
来源:ARXIV_20240530
Abstract : We introduce a novel large scale deep learning model for Limit Order Book mid price changes forecasting, and we name it HLOB . This architecture (i) exploits the information encoded by an Information Filtering Network, namely the Triangulated Maximally Filtered Graph, to unveil deeper and non trivial dependency structures among volume levels and (ii) guarantees deterministic design choices to......(摘要翻译及全文见知识星球)
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