Modelling high-frequency limit order book dynamics with support vector machines
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high-frequency limit order bookmachine learningmulti-class classifierssupport vector machines (SVMs)
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Learning and adaptive systems in artificial intelligence (68T05) Actuarial science and mathematical finance (91G99) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)
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Cites work
- 10.1162/15324430260185628
- A generalized birth-death stochastic model for high-frequency order book dynamics
- A stochastic model for order book dynamics
- Buy Low, Sell High: A High Frequency Trading Perspective
- Classification by pairwise coupling
- Competing Mechanisms in a Common Value Environment
- Elements of Information Theory
- scientific article; zbMATH DE number 1903876 (Why is no real title available?)
- Inference for the generalization error
- On entropy and information gain in random fields
- Price dynamics in a Markovian limit order market
- Statistical properties of stock order books: empirical results and models
- Support-vector networks
- THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING
Cited in
(16)- Machine learning and speed in high-frequency trading
- Evolution of high-frequency systematic trading: a performance-driven gradient boosting model
- Short-term stock price prediction based on limit order book dynamics
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
- Stock market trend prediction using a functional time series approach
- Deep learning for limit order books
- Exploiting social media with higher-order factorization machines: statistical arbitrage on high-frequency data of the S\&P 500
- Encoding of high-frequency order information and prediction of short-term stock price by deep learning
- Learning multi-market microstructure from order book data
- ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- A generative model of a limit order book using recurrent neural networks
- Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
- Consistent causal inference for high-dimensional time series
- Attention-based reading, highlighting, and forecasting of the limit order book
- Generative-discriminative machine learning models for high-frequency financial regime classification
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