Temporal Bag-of-Features Learning for Predicting Mid Price...

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IEEE Transactions on Emerging Topics in Computational Intelligence 2018

Temporal Bag-of-Features Learning for Predicting Mid Price Movements Using High Frequency Limit Order Book Data

Passalis, Nikolaos, Tefas, Anastasios, Kanniainen, Juho, Gabbouj, Moncef, Iosifidis, Alexandros
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Year:
2018
Language:
english
Journal:
IEEE Transactions on Emerging Topics in Computational Intelligence
DOI:
10.1109/TETCI.2018.2872598
File:
PDF, 4.63 MB
english, 2018
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