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References

1. Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods

@article{Ntakaris_2018,
doi = {10.1002/for.2543},
  url = {https://doi.org/10.1002%2Ffor.2543},
  year = 2018,
  month = {aug},
  publisher = {Wiley},
  volume = {37},
  number = {8},
  pages = {852--866},
  author = {Adamantios Ntakaris and Martin Magris and Juho Kanniainen and Moncef Gabbouj and Alexandros Iosifidis},
  title = {Benchmark dataset for mid-price forecasting of limit order book data with machine learning methods},
  journal = {Journal of Forecasting}
}

2. Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks

@INPROCEEDINGS{8010701,
  author={Tsantekidis, Avraam and Passalis, Nikolaos and Tefas, Anastasios and Kanniainen, Juho and Gabbouj, Moncef and Iosifidis, Alexandros},
  booktitle={2017 IEEE 19th Conference on Business Informatics (CBI)},
  title={Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks},
  year={2017},
  volume={01},
  number={},
  pages={7-12},
  doi={10.1109/CBI.2017.23}
}

3. DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

@ARTICLE{8673598,
  author={Zhang, Zihao and Zohren, Stefan and Roberts, Stephen},
  journal={IEEE Transactions on Signal Processing}, 
  title={DeepLOB: Deep Convolutional Neural Networks for Limit Order Books}, 
  year={2019},
  volume={67},
  number={11},
  pages={3001-3012},
  doi={10.1109/TSP.2019.2907260}}

4. BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books

@article{https://doi.org/10.48550/arxiv.1811.10041,
  doi = {10.48550/ARXIV.1811.10041},
  url = {https://arxiv.org/abs/1811.10041},
  author = {Zhang, Zihao and Zohren, Stefan and Roberts, Stephen},
  title = {BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books},
  publisher = {arXiv},
  year = {2018},
  copyright = {arXiv.org perpetual, non-exclusive license}
}

5. Transformers for Limit Order Books

@misc{https://doi.org/10.48550/arxiv.2003.00130,
  doi = {10.48550/ARXIV.2003.00130},
  url = {https://arxiv.org/abs/2003.00130},
  author = {Wallbridge, James},
  title = {Transformers for Limit Order Books},
  publisher = {arXiv},
  year = {2020},
  copyright = {arXiv.org perpetual, non-exclusive license}
}