13,637 research outputs found
Analysis of frequent trading effects of various machine learning models
In recent years, high-frequency trading has emerged as a crucial strategy in
stock trading. This study aims to develop an advanced high-frequency trading
algorithm and compare the performance of three different mathematical models:
the combination of the cross-entropy loss function and the quasi-Newton
algorithm, the FCNN model, and the vector machine. The proposed algorithm
employs neural network predictions to generate trading signals and execute buy
and sell operations based on specific conditions. By harnessing the power of
neural networks, the algorithm enhances the accuracy and reliability of the
trading strategy. To assess the effectiveness of the algorithm, the study
evaluates the performance of the three mathematical models. The combination of
the cross-entropy loss function and the quasi-Newton algorithm is a widely
utilized logistic regression approach. The FCNN model, on the other hand, is a
deep learning algorithm that can extract and classify features from stock data.
Meanwhile, the vector machine is a supervised learning algorithm recognized for
achieving improved classification results by mapping data into high-dimensional
spaces. By comparing the performance of these three models, the study aims to
determine the most effective approach for high-frequency trading. This research
makes a valuable contribution by introducing a novel methodology for
high-frequency trading, thereby providing investors with a more accurate and
reliable stock trading strategy
DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
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 LSTM modules to capture longer time dependencies. The proposed
network outperforms all existing state-of-the-art algorithms on the benchmark
LOB dataset [1]. In a more realistic setting, we test our model by using one
year market quotes from the London Stock Exchange and the model delivers a
remarkably stable out-of-sample prediction accuracy for a variety of
instruments. Importantly, our model translates well to instruments which were
not part of the training set, indicating the model's ability to extract
universal features. In order to better understand these features and to go
beyond a "black box" model, we perform a sensitivity analysis to understand the
rationale behind the model predictions and reveal the components of LOBs that
are most relevant. The ability to extract robust features which translate well
to other instruments is an important property of our model which has many other
applications.Comment: 12 pages, 9 figure
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