A residual-learning hybrid of VAR and a feedforward neural network is applied to predict order flow imbalance, with reported gains over standalone models on Binance data.
A vector-autoregression analysis of credit and liquidity factor dynamics in US LIBOR and Euribor swap markets
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Hybrid Vector Auto Regression and Neural Network Model for Order Flow Imbalance Prediction in High Frequency Trading
A residual-learning hybrid of VAR and a feedforward neural network is applied to predict order flow imbalance, with reported gains over standalone models on Binance data.