相关论文: Forecasting of Jump Arrivals in Stock Prices: New …

A limit order book provides information on available limit order prices and their volumes. Based on these quantities, we give an empirical result on the relationship between the bid-ask liquidity balance and trade sign and we show that…

Forecasting the movements of stock prices is one 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.…

This paper presents a comprehensive study on stock price prediction, leveragingadvanced machine learning (ML) and deep learning (DL) techniques to improve financial forecasting accuracy. The research evaluates the performance of various…

In this paper, we tackle the challenge of predicting stock movements in financial markets by introducing Higher Order Transformers, a novel architecture designed for processing multivariate time-series data. We extend the self-attention…

We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extraction in combination with masked self-attention to update features…

Stock market plays an important role in the economic development. Due to the complex volatility of the stock market, the research and prediction on the change of the stock price, can avoid the risk for the investors. The traditional time…

In high-frequency trading (HFT), leveraging limit order books (LOB) to model stock price movements is crucial for achieving profitable outcomes. However, this task is challenging due to the high-dimensional and volatile nature of the…

Previous attempts to predict stock price from limit order book (LOB) data are mostly based on deep convolutional neural networks. Although convolutions offer efficiency by restricting their operations to local interactions, it is at the…

With the proliferation of algorithmic high-frequency trading in financial markets, the Limit Order Book has generated increased research interest. Research is still at an early stage and there is much we do not understand about the dynamics…

Financial market analysis, especially the prediction of movements of stock prices, is a challenging problem. The nature of financial time-series data, being non-stationary and nonlinear, is the main cause of these challenges. Deep learning…

As a branch of time series forecasting, stock movement forecasting is one of the challenging problems for investors and researchers. Since Transformer was introduced to analyze financial data, many researchers have dedicated themselves to…

This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order…

Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempts for extracting relevant features based on LOB data. In…

Recurrent neural networks (RNNs) are types of artificial neural networks (ANNs) that are well suited to forecasting and sequence classification. They have been applied extensively to forecasting univariate financial time series, however…

It has been shown that financial news leads to the fluctuation of stock prices. However, previous work on news-driven financial market prediction focused only on predicting stock price movement without providing an explanation. In this…

Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly…

High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and…

We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as…

Predicting the intraday stock jumps is a significant but challenging problem in finance. Due to the instantaneity and imperceptibility characteristics of intraday stock jumps, relevant studies on their predictability remain limited. This…

Although conventional machine learning algorithms have been widely adopted for stock-price predictions in recent years, the massive volume of specific labeled data required are not always available. In contrast, meta-learning technology…