Machine Learning for Forecasting Mid-Price Movements Using Limit Order Book Data

Forecasting the movements of stock prices is one of the most challenging problems in financial markets analysis. In this paper, we use machine learning (ML) algorithms for the prediction of future price movements using limit order book data. Two different sets of features are combined and evaluated:...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	IEEE access 2019, Vol.7, p.64722-64736
Hauptverfasser:	Nousi, Paraskevi, Tsantekidis, Avraam, Passalis, Nikolaos, Ntakaris, Adamantios, Kanniainen, Juho, Tefas, Anastasios, Gabbouj, Moncef, Iosifidis, Alexandros
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Data models Evaluation Feature extraction Forecasting Limit order book Machine learning Machine learning algorithms mid price forecasting Predictive models Pricing Task analysis
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!