SSRNTrading, Microstructure & Execution
Improving Deep Learning of Alpha Term Structures from the Order Book
The article evaluates the efficiency of four deep learning models in predicting high-frequency returns in equities, emphasizing the role of network structure, input choice, and time inclusion.
Featured in No. 42 on 27 Mar 2024 · 4 days after release · 3 citations today
- Released
- 23 Mar 2024
- First featured
- No. 42 · 27 Mar 2024
- Citations (Semantic Scholar)
- 3
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 125
- Identifier
- SSRN 4770476
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).