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We showcase how dropout variational inference can be applied to a large-scale deep learning model that predicts price movements from limit order books (LOBs), the canonical data source representing trading and pricing movements.
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Avraam Tsantekidis, Nikolaos Passalis, Anastasios Tefas, Juho Kanniainen, Moncef Gabbouj, and Alexandros Iosifidis · 2017
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DeepLOB: Deep convolutional neural networks for limit order books
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