Performance-weighted ensembles of random forests for predicting price impact
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Publication:4619486
DOI10.1080/14697688.2014.983539zbMATH Open1406.91402OpenAlexW2154033164WikidataQ58683091 ScholiaQ58683091MaRDI QIDQ4619486FDOQ4619486
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
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Cites Work
- 10.1162/153244303322753616
- Random forests
- The price impact of order book events: market orders, limit orders and cancellations
- Optimal execution strategies in limit order books with general shape functions
- Continuous Auctions and Insider Trading
- Understanding the cubic and half-cubic laws of financial fluctuations
- Modified support vector machines in financial time series forecasting
- Optimal trade execution under price-sensitive risk preferences
- Automated trading with boosting and expert weighting
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