Pinzhang Wang, Lin Li, Simon J. Godsill. Particle Filtering and Inference for Limit Order Books in High Frequency Finance. In 2018 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2018, Calgary, AB, Canada, April 15-20, 2018. pages 4264-4268, IEEE, 2018. [doi]
Abstract is missing.