Dual-branch BiGRU-CNN for high-frequency LOB mid-price prediction. Weighted Pearson rho_w = 0.266, outperforming LightGBM on 58.3% of sequences. Documents feature sufficiency and the negative ensemble effect on HF data (Wunder Fund RNN challenge).
Keywords: limit order book; high-frequency finance; recurrent neural networks; mid-price prediction; weighted Pearson; Wunder Fund challenge