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.
Job Market Paper
Publications
Journal of Finance
Review of Asset Pricing Studies
Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
