The code provided in this repository is based on the paper 'Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting' in https://arxiv.org/abs/2304.09840. The reader can find the implementation of the OPTM-LSTM cell here and it based on a randomly generated dataset that is for illustration purposes only. The paper utilizes high-frequency limit order book datasets as input information to the OPTM-LSTM.
Disclaimer: The present forecasting thesis is for research and development purposes only and not an investment or trading advice.
Note: OPTM-LSTM was developed based on the TensorFlow LSTM cell https://github.com/keras-team/keras/blob/v2.10.0/keras/layers/rnn/lstm.py