An Attention-based Neural Network for Limit Order Books
A neural network augmented with an attention mechanism, used to forecast high-frequency price movements and to make inference on the relative informativeness of limit versus market orders for price discovery.
Journal of Finance
Review of Asset Pricing Studies
Francesco Franzoni (USI Lugano, co-author and thesis advisor)
Augustin Landier (HEC Paris, co-author)
Andrea Buraschi (Imperial College London, co-author)