The Intraday Dynamics Predictor: A TrioFlow Fusion of Convolutional Layers and Gated Recurrent Units for High-Frequency Price Movement Forecasting
Ilia Zaznov,
Julian Martin Kunkel,
Atta Badii
et al.
Abstract:This paper introduces a novel deep learning approach for intraday stock price direction prediction, motivated by the need for more accurate models to enable profitable algorithmic trading. The key problems addressed are effectively modelling complex limit order book (LOB) and order flow (OF) microstructure data and improving prediction accuracy over current state-of-the-art models. The proposed deep learning model, TrioFlow Fusion of Convolutional Layers and Gated Recurrent Units (TFF-CL-GRU), takes LOB and OF… Show more
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