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

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:...

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Bibliographic Details
Main Authors: Paraskevi Nousi, Avraam Tsantekidis, Nikolaos Passalis, Adamantios Ntakaris, Juho Kanniainen, Anastasios Tefas, Moncef Gabbouj, Alexandros Iosifidis
Format: Article
Language:English
Published: IEEE 2019-01-01
Series:IEEE Access
Subjects:
Limit order book
feature extraction
mid price forecasting
Online Access:https://ieeexplore.ieee.org/document/8713851/

Internet

https://ieeexplore.ieee.org/document/8713851/

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