{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,8]],"date-time":"2026-10-08T19:14:22Z","timestamp":1791486862936,"version":"4.3.4"},"reference-count":62,"publisher":"Institute of Electrical and Electronics Engineers (IEEE)","license":[{"start":{"date-parts":[[2019,1,1]],"date-time":"2019-01-01T00:00:00Z","timestamp":1546300800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/legalcode"}],"funder":[{"name":"H2020 Project BigDataFinance MSCA-ITN-ETN","award":["675044"],"award-info":[{"award-number":["675044"]}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["IEEE Access"],"published-print":{"date-parts":[[2019]]},"DOI":"10.1109\/access.2019.2924353","type":"journal-article","created":{"date-parts":[[2019,6,21]],"date-time":"2019-06-21T19:50:40Z","timestamp":1561146640000},"page":"82390-82412","source":"Crossref","is-referenced-by-count":55,"title":["Feature Engineering for Mid-Price Prediction With Deep Learning"],"prefix":"10.1109","volume":"7","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1626-3943","authenticated-orcid":false,"given":"Adamantios","family":"Ntakaris","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Giorgio","family":"Mirone","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Juho","family":"Kanniainen","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Moncef","family":"Gabbouj","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alexandros","family":"Iosifidis","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"263","reference":[{"key":"ref39","doi-asserted-by":"crossref","DOI":"10.1093\/oso\/9780198538493.001.0001","author":"bishop","year":"1995","journal-title":"Neural Networks for Pattern Recognition"},{"key":"ref38","doi-asserted-by":"publisher","DOI":"10.1016\/j.jksuci.2013.12.001"},{"key":"ref33","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3165408"},{"key":"ref32","doi-asserted-by":"publisher","DOI":"10.1109\/CEEC.2017.8101595"},{"key":"ref31","author":"kanagal","year":"2017","journal-title":"Market Making With Machine Learning Methods"},{"key":"ref30","article-title":"Machine learning techniques for price change forecast using the limit order book data","author":"han","year":"2015"},{"key":"ref37","doi-asserted-by":"publisher","DOI":"10.1016\/B978-0-444-50897-3.50005-5"},{"key":"ref36","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"},{"key":"ref35","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000044"},{"key":"ref34","doi-asserted-by":"publisher","DOI":"10.23919\/EUSIPCO.2017.8081663"},{"key":"ref60","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"ref62","first-page":"1","article-title":"Econometrics of testing for jumps in financial economics using bipower variation","volume":"4","author":"barndorff-nielsen","year":"2006","journal-title":"J Financial Econ"},{"key":"ref61","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"ref28","article-title":"Improving factor-based quantitative investing by forecasting company fundamentals","author":"alberg","year":"2017","journal-title":"arXiv 1711 04837"},{"key":"ref27","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.2026454"},{"key":"ref29","doi-asserted-by":"publisher","DOI":"10.1145\/3077286.3077294"},{"key":"ref2","article-title":"Forecasting economics and financial time series: ARIMA vs. LSTM","author":"siami-namini","year":"2018","journal-title":"arXiv 1803 06386"},{"key":"ref1","article-title":"Financial series prediction: Comparison between precision of time series models and machine learning methods","author":"qian","year":"2017","journal-title":"arXiv 1706 00948"},{"key":"ref20","article-title":"Deep learning for limit order books","author":"sirignano","year":"2016","journal-title":"arXiv 1601 01987"},{"key":"ref22","doi-asserted-by":"publisher","DOI":"10.1109\/ACCESS.2018.2868970"},{"key":"ref21","doi-asserted-by":"publisher","DOI":"10.1016\/j.jocs.2017.08.018"},{"key":"ref24","doi-asserted-by":"publisher","DOI":"10.23919\/EUSIPCO.2017.8081217"},{"key":"ref23","article-title":"DeepLOB: Deep convolutional neural networks for limit order books","author":"zhang","year":"2018","journal-title":"arXiv 1808 03668"},{"key":"ref26","doi-asserted-by":"publisher","DOI":"10.1109\/TNNLS.2018.2869225"},{"key":"ref25","doi-asserted-by":"publisher","DOI":"10.1109\/SSCI.2017.8280812"},{"key":"ref50","doi-asserted-by":"publisher","DOI":"10.1016\/j.neucom.2004.04.002"},{"key":"ref51","doi-asserted-by":"publisher","DOI":"10.1016\/B978-012279671-5.50007-1"},{"key":"ref59","doi-asserted-by":"publisher","DOI":"10.1093\/acprof:oso\/9780199549498.003.0007"},{"key":"ref58","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfineco.2014.07.007"},{"key":"ref57","doi-asserted-by":"publisher","DOI":"10.1016\/j.spa.2008.11.004"},{"key":"ref56","doi-asserted-by":"crossref","first-page":"1481","DOI":"10.3982\/ECTA6495","article-title":"Designing realized kernels to measure the ex post variation of equity prices in the presence of noise","volume":"76","author":"barndorff-nielsen","year":"2008","journal-title":"Econometrica"},{"key":"ref55","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"ref54","author":"chollet","year":"2015","journal-title":"Keras"},{"key":"ref53","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"ref52","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2006.09.030"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2016.04.001"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3213389"},{"key":"ref40","article-title":"Automatic differentiation in machine learning: A survey","author":"baydin","year":"2015","journal-title":"arXiv 1502 05767"},{"key":"ref12","doi-asserted-by":"publisher","DOI":"10.1080\/14697688.2015.1032546"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1002\/for.2543"},{"key":"ref14","doi-asserted-by":"publisher","DOI":"10.1017\/S0022109000004002"},{"key":"ref15","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00347"},{"key":"ref16","doi-asserted-by":"publisher","DOI":"10.1016\/j.finmar.2017.07.002"},{"key":"ref17","article-title":"Using deep learning for price prediction by exploiting stationary limit order book features","author":"tsantekidis","year":"2018","journal-title":"arXiv 1810 09965"},{"key":"ref18","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2015.09.029"},{"key":"ref19","doi-asserted-by":"publisher","DOI":"10.1109\/ACCESS.2018.2884877"},{"key":"ref4","article-title":"Machine learning for forecasting mid price movement using limit order book data","author":"nousi","year":"2018","journal-title":"arXiv 1809 07861"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1109\/ACCESS.2018.2859809"},{"key":"ref6","article-title":"Stock chart pattern recognition with deep learning","author":"velay","year":"2018","journal-title":"arXiv 1808 00418"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.2139\/ssrn.3141294"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1109\/SSCI.2017.8285188"},{"key":"ref7","doi-asserted-by":"publisher","DOI":"10.1016\/j.jfds.2016.03.002"},{"key":"ref49","doi-asserted-by":"publisher","DOI":"10.1109\/CIFER.2011.5953557"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1016\/j.eswa.2010.05.037"},{"key":"ref46","doi-asserted-by":"publisher","DOI":"10.1016\/j.neucom.2013.09.055"},{"key":"ref45","doi-asserted-by":"publisher","DOI":"10.18653\/v1\/P16-2034"},{"key":"ref48","doi-asserted-by":"crossref","first-page":"808","DOI":"10.1109\/TNN.2007.912308","article-title":"Trend time–series modeling and forecasting with neural networks","volume":"19","author":"qi","year":"2008","journal-title":"IEEE Trans Neural Netw"},{"key":"ref47","doi-asserted-by":"publisher","DOI":"10.1016\/j.neucom.2008.04.030"},{"key":"ref42","author":"goodfellow","year":"2016","journal-title":"Deep Learning"},{"key":"ref41","article-title":"Incorporating nesterov momentum into adam","author":"dozat","year":"2016","journal-title":"Proc ICLR"},{"key":"ref44","doi-asserted-by":"publisher","DOI":"10.1162\/neco.1997.9.8.1735"},{"key":"ref43","doi-asserted-by":"publisher","DOI":"10.1109\/CBI.2017.23"}],"container-title":["IEEE Access"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx7\/6287639\/8600701\/08743410.pdf?arnumber=8743410","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,7,20]],"date-time":"2024-07-20T03:09:11Z","timestamp":1721444951000},"score":1,"resource":{"primary":{"URL":"https:\/\/ieeexplore.ieee.org\/document\/8743410\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019]]},"references-count":62,"URL":"https:\/\/doi.org\/10.1109\/access.2019.2924353","relation":{},"ISSN":["2169-3536"],"issn-type":[{"value":"2169-3536","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019]]}}}