Machine Learning for Forecasting Mid-Price Movements Using Limit Order Book Data

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Authors: Paraskevi Nousi, Avraam Tsantekidis, Nikolaos Passalis, Adamantios Ntakaris, Juho Kanniainen, Anastasios Tefas, Moncef Gabbouj, Alexandros Iosifidis

Journal title: IEEE Access

Journal number: 7

Journal publisher: Institute of Electrical and Electronics Engineers Inc.

Published year: 2019

Published pages: 64722-64736

DOI identifier: 10.1109/access.2019.2916793

ISSN: 2169-3536