For our main results, please refer to the instructions under folder:
    1.'Replication/Mid-Price Movement Prediction': 3-label mid-price prediction at next print
    2.'Final copy': feature construction, 2-label mid-price prediction at next print and market making strategy

For other detailed attempts, please refer to the instructions under folder:
    1.'Features Selection': various supervised and unsupervised dimension reduction attempts
    2.'Mid-Price Movement Prediction_Longer Horizon': 3-label mid-price prediction in 1s
    3.'Mid-Price Movement Prediction_Within Sector': 3-label mid-price prediction at next point with MSFT as test 
    4.'OrderBook_Simulator_and_Market_Making_Strategies': orderbook demo and market making strategy research
    

References：
    Matthew Dixon, A High Frequency Trade Execution Model for Supervised Learning, December 5, 2017.
    Matthew Dixon, Sequence Classification of the Limit Order Book using Recurrent Neural Networks, July 14, 2017.
    Yuriy Nevmyvaka, Yi Feng, and Michael Kearns, Reinfrocment Learning for Optimized Trade Ex- ecution, 2006.
    Michael Kearns and Yuriy Nevmyvaka, Machine Learning for Market Microstructure and High Frequency Trading, 2013.
    Irene Aldridge, High-frequency trading - a practical guide to algorithmic strategies and trading systems, 2013.
    Angelo Ranaldo, Order aggressiveness in limit order book markets, 2004.
    Yakov Amihud, Illiquidity and stock returns: cross-section and time-series effects, 2002. 
    Wojciech Zaremba and Ilya Sutskever, Recurrent Neural Network Regularization, 2015. 
    https://lobsterdata.com/info/DataSamples.php
    https://github.com/Quiota/tensorflow