Ensemble Methods for Capturing Dynamics of Limit Order Books
According to rapid development in information technology, limit order books(LOB) mechanism has emerged to prevail in today's nancial market. In this paper, we propose ensemble machine learning architectures for capturing the dynamics of high-frequency limit order books such as predicting price...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/FSU_SUMMER2017_Wang_fsu_0071E_14047 |