@article{b2c122ba97e2461aad40d08e08456273,
title = "LSTM forecasting foreign exchange rates using limit order book",
abstract = "We use long and short term memory (LSTM) to predict intraday returns in foreign exchange markets. As predictors, we use events in the limit order book. Compared to other models, our model predicts the movement of a 1-min midquote return. When we consider the bid-ask spread, this prediction does not bring economic gains. This result indicates that these events can contribute to price discovery and the studied markets efficiently set the spread.",
keywords = "LSTM, foreign exchange rate, limit order",
author = "Katsuki Ito and Hitoshi Iima and Yoshihiro Kitamura",
note = "Funding Information: We would like to thank the two anonymous reviewers for their suggestions and comments. This research is supported by the JSPS Grant-in-Aid for Scientific Research (grant numbers 19H01508 and 19K21704) and Grant-in-Aid from the Zengin Foundation for Studies on Economics and Finance. Publisher Copyright: {\textcopyright} 2021",
year = "2022",
month = jun,
doi = "10.1016/j.frl.2021.102517",
language = "English",
volume = "47",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",
}