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# deepOBs
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This repo contains the code for the paper 'The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective'.
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This repo contains the code for the paper ['The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective'](https://arxiv.org/abs/2211.13777).
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The main methods, which we believe could be of use to other researchers, are found in:
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- [_data_process.py_](https://github.com/lorenzolucchese/deepOBs/blob/master/data_process.py): functions for processing order book data dowloaded from [LOBSTER](https://lobsterdata.com/) to raw order book, order flow and volume features and the corresponding returns;

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