Benchmark dataset for mid-price forecasting of limit order book data with machine learning methods

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Authors: Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis

Journal title: Journal of Forecasting

Journal number: 37/8

Journal publisher: John Wiley & Sons Inc.

Published year: 2018

Published pages: 852-866

DOI identifier: 10.1002/for.2543

ISSN: 0277-6693