Focusing at High Frequency:

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.

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Francesco Franzoni (USI Lugano, co-author and thesis advisor)

Augustin Landier (HEC Paris, co-author)

Andrea Buraschi (Imperial College London, co-author)