@article{featureengineeringformidpriceprediction,
  title = {Feature Engineering for Mid-Price Prediction with Deep Learning},
  author = {Adamantios Ntakaris and Giorgio Mirone and Juho Kanniainen and Moncef Gabbouj and Alexandros Iosifidis},
  year = {2019},
  eprint = {1904.05384},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/1904.05384v3},
}