Investigating Limit Order Book Features for Short-Term Price Prediction: A Machine Learning Approach

2018 ◽  
Author(s):  
Faisal I Qureshi
Keyword(s):  
Machine Learning ◽  
Limit Order Book ◽  
Order Book ◽  
Learning Approach ◽  
Short Term ◽  
Limit Order ◽  
Price Prediction ◽  
Machine Learning Approach

Benchmark Dataset for Short-Term Market Prediction of Limit Order Book in China Markets

2021 ◽  
pp. jfds.2021.1.074
Author(s):  
Charles Huang ◽  
Weifeng Ge ◽  
Hongsong Chou ◽  
Xin Du
Keyword(s):  
Limit Order Book ◽  
Benchmark Dataset ◽  
Order Book ◽  
Short Term ◽  
Limit Order

scholarly journals Using Deep Learning for price prediction by exploiting stationary limit order book features

2020 ◽  
Vol 93 ◽  
pp. 106401 ◽  
Author(s):  
Avraam Tsantekidis ◽  
Nikolaos Passalis ◽  
Anastasios Tefas ◽  
Juho Kanniainen ◽  
Moncef Gabbouj ◽  
...  
Keyword(s):  
Deep Learning ◽  
Limit Order Book ◽  
Order Book ◽  
Limit Order ◽  
Price Prediction

Patience vs. impatience of traders: Formation of the value-at-price distribution through competition for liquidity

2015 ◽  
Vol 02 (03) ◽  
pp. 1550029
Author(s):  
Peter Lerner
Keyword(s):  
Asymptotic Distribution ◽  
High Frequency ◽  
Imperfect Information ◽  
Limit Order Book ◽  
Order Book ◽  
Short Term ◽  
Limit Order ◽  
Price Distribution ◽  
Realistic Representation ◽  
Dynamic Version

The ability to postpone one's execution in the market without penalty in search of a better price is an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to formulate to a quantitative theory of formation of the execution price from market expectations and quotes. Equilibrium theory was provided in 2005 by Foucault, Kadan and Kandel. I derive an asymptotic distribution of the bids/offers as a function of the ratio of patient and impatient traders using the dynamic version of the Foucault, Kadan and Kandel limit order book (LOB) model. Our version of the LOB model allows stylized, but sufficiently realistic representation of the trading markets. In particular, dynamic LOB allows simulation of the distribution of execution times and spreads from high-frequency quotes. Significant analytic progress is made toward framing of short-term trading as competition for immediacy of execution between traders under imperfect information. The results are qualitatively compared with empirical volume-at-price distribution of highly liquid stocks.

Sign in / Sign up

Export Citation Format

Share Document