Shi, Zijian

2 publications

AAAI 2021 The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network Zijian Shi, Yu Chen, John Cartlidge

ECML-PKDD 2021 The Limit Order Book Recreation Model (LOBRM): An Extended Analysis Zijian Shi, John Cartlidge