Zijian Shi | DeepAI

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Yu Chen
160 publications
John Cartlidge
8 publications

research

∙ 02/28/2023

Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology

Modern financial exchanges use an electronic limit order book (LOB) to s...

0 Zijian Shi, et al. ∙

research

∙ 07/01/2021

The Limit Order Book Recreation Model (LOBRM): An Extended Analysis

The limit order book (LOB) depicts the fine-grained demand and supply re...

0 Zijian Shi, et al. ∙

research

∙ 03/02/2021

The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network

In an order-driven financial market, the price of a financial asset is d...

0 Zijian Shi, et al. ∙