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Paper / 2024SMQ / 214620714720736
Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book
Jiwon Jung / Kiseop Lee
deep learning / neural networksResource overview

Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book

Paper2024

by Jiwon Jung, Kiseop Lee

Tags
deep learningneural networkstime series

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Understand this paper

Suggested foundations for financial time series and market microstructure and execution. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. Order Books

    Read bid, ask, depth and queue-based market state.

  4. Order Flow and Adverse Selection

    Understand why fills and order flow can carry information.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Market Impact

    Connect trading speed and size to execution cost.

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