Performance-weighted ensembles of random forests for predicting price impact

DOI10.1080/14697688.2014.983539MaRDI QIDQ4619486zbMATH OpenOpenAlexWikidataFDO

Authors Ash Booth, E. H. Gerding, Frank McGroarty

Publication date 6 February 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.983539

zbMATH Keywords

random forestsmachine learningprice impacttransaction costsmarket microstructuretrading strategies

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• 10.1162/153244303322753616
• Automated trading with boosting and expert weighting
• Continuous Auctions and Insider Trading
• Modified support vector machines in financial time series forecasting
• Optimal execution strategies in limit order books with general shape functions
• Optimal trade execution under price-sensitive risk preferences
• Random forests
• The price impact of order book events: market orders, limit orders and cancellations
• Understanding the cubic and half-cubic laws of financial fluctuations

Cited in

(1)

• A weighted random forests approach to improve predictive performance

Describes a project that uses

Uses Software

• GeneSrF
• randomForest

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