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This paper shows that temporal CNNs accurately predict bitcoin spot price movements from limit order book data.
“Transformers for Limit Order Books”
J. Wallbridge · 2003
Earlier work this paper cites.
“Keras”, https://keras.io , 2015
François Chollet · 2015
Earlier work this paper cites.
“TensorFlow: Large-Scale Machine Learning on Heterogeneous Systems” Software available from tensorflow.org, 2015
Martin et al · 2015
Earlier work this paper cites.
“Deep Learning for Limit Order Books”, 2016
Justin Sirignano · 2016
Earlier work this paper cites.
“Deep Residual Learning for Image Recognition”
Kaiming He, Xiangyu Zhang, Shaoqing Ren and Jian Sun · 2016
Earlier work this paper cites.
“An Empirical Study on Modeling and Prediction of Bitcoin Prices With Bayesian Neural Networks Based on Blockchain Information”
Huisu Jang and Jaewook Lee · 2017
Cited alongside, same era.
“Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks”
Avraam Tsantekidis et al · 2017
Cited alongside, same era.
“Anticipating Cryptocurrency Prices Using Machine Learning”
Laura Alessandretti, Abeer Elbahrawy, Luca Aiello and Andrea Baronchelli · 2018
Cited alongside, same era.
“Predicting the Price of Bitcoin Using Machine Learning”
Sean Mcnally, Jason Roche and Simon Caton · 2018
Cited alongside, same era.
“CNN with Limit Order Book Data for Stock Price Prediction”
Jaime Niño et al · 2018
Cited alongside, same era.
“An Empirical Evaluation of Generic Convolutional and Recurrent Networks for Sequence Modeling”
Shaojie Bai, J. Kolter and Vladlen Koltun · 2018
Later among the works it cites.
“Benchmark dataset for mid-price forecasting of limit order book data with machine learning methods”
Adamantios Ntakaris et al · 2018
Later among the works it cites.
“DeepLOB: Deep Convolutional Neural Networks for Limit Order Books”
Zihao Zhang, Stefan Zohren and Stephen Roberts · 2019
Later among the works it cites.
“Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data”, 2019
Paraskev Nousi et al · 2019
Later among the works it cites.
“Keras-TCN”, https://github.com/philipperemy/keras-tcn , 2020
Philippe Rémy · 2020
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