Jacobo Roa-Vicens, Yao Lei Xu, Ricardo Silva, Danilo P. Mandic. Graph and tensor-train recurrent neural networks for high-dimensional models of limit order books. In Daniele Magazzeni, Senthil Kumar, Rahul Savani, Renyuan Xu, Carmine Ventre, Blanka Horvath, Ruimeng Hu, Tucker Balch, Francesca Toni, editors, 3rd ACM International Conference on AI in Finance, ICAIF 2022, New York, NY, USA, November 2-4, 2022. pages 207-213, ACM, 2022. [doi]
Abstract is missing.