Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks

@article{Tsantekidis2017ForecastingSP,
  title={Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks},
  author={Avraam Tsantekidis and Nikolaos Passalis and Anastasios Tefas and Juho Kanniainen and M. Gabbouj and Alexandros Iosifidis},
  journal={2017 IEEE 19th Conference on Business Informatics (CBI)},
  year={2017},
  volume={01},
  pages={7-12}
}
In today's financial markets, where most trades are performed in their entirety by electronic means and the largest fraction of them is completely automated, an opportunity has risen from analyzing this vast amount of transactions. Since all the transactions are recorded in great detail, investors can analyze all the generated data and detect repeated patterns of the price movements. Being able to detect them in advance, allows them to take profitable positions or avoid anomalous events in the… Expand
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