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A generative model of a limit order book using recurrent neural networks.

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Title: A generative model of a limit order book using recurrent neural networks.
Authors: Hultin, Hanna1,2 (AUTHOR) hhultin@kth.se, Hult, Henrik1 (AUTHOR), Proutiere, Alexandre3 (AUTHOR), Samama, Samuel2 (AUTHOR), Tarighati, Ala2 (AUTHOR)
Source: Quantitative Finance. Jun2023, Vol. 23 Issue 6, p931-958. 28p.
Database: Mathematics Source
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ISSN:14697688
DOI:10.1080/14697688.2023.2205583