Deep Order Flow Imbalance: Extracting Alpha At Multiple Horizons from The Limit Order Book

Deep Order Flow Imbalance: Extracting Alpha At Multiple Horizons from The Limit Order Book Written by PETTER N. KOLM, JEREMY TURIEL AND NICHOLAS WESTRAY Based on our experience from training state-of-the-art deep learning models across order books for a large number of stocks, we conclude that deploying these high-frequency return forecasting models at large scale is … Continue reading Deep Order Flow Imbalance: Extracting Alpha At Multiple Horizons from The Limit Order Book