Zijian Shi, John Cartlidge. State Dependent Parallel Neural Hawkes Process for Limit Order Book Event Stream Prediction and Simulation. In Aidong Zhang, Huzefa Rangwala, editors, KDD '22: The 28th ACM SIGKDD Conference on Knowledge Discovery and Data Mining, Washington, DC, USA, August 14 - 18, 2022. pages 1607-1615, ACM, 2022. [doi]
Abstract is missing.