Multi-Horizon-Forecasting-for-Limit-Order-Books

This jupyter notebook is used to demonstrate our work, Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly available and interested readers can check out their paper. The paper is available at https://arxiv.org/abs/2105.10430.

A blog and a video for our work are available at https://www.graphcore.ai/posts/graphcore-turbocharges-multi-horizon-financial-forecasting-for-oxford-man-institute.