Markov Models

• Input Output Hidden Markov Model in R
• Hidden Markov Models Applied To Intraday Momentum Trading With Side Information

Neural Networks

General

• Andrej Karpathy blog
• Christopher Olah blog
• Understanding LSTM

Trading

• DeepLOB: Deep Convolutional Neural Networksfor Limit Order Books
• Blackarbs LLC
• Deep Reinforcement Learningfor Active High Frequency Trading

Other

• Sergey Malchevskiy