LiT:限量订单簿变压器

Yue Xiao1, Carmine Ventre1, Yuhan Wang2

  • 1Finance Hub, Department of Informatics, King's College London, London, United Kingdom.

概括

我们介绍了极限订单簿转换器 (LiT),这是一个用于金融市场预测的新型深度学习模型. LiT有效地捕捉了市场微观结构的动态,在限量订单簿分析中表现优于现有的方法.

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