Results based on the hand-crafted features based on LOB features—136 features.
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https://figshare.com/articles/dataset/Results_based_on_the_hand-crafted_features_based_on_LOB_features_136_features_/12473957
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Bold text highlights the best F1 performance per predicted horizon T. LMS classifier achieved the best F1 performance for every predicted horizon.
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2020-06-12
