Mid-Price Movement Prediction in Limit Order Books Using Feature Engineering and Machine Learning

The increasing complexity of financial trading in recent years revealed the need for methods that can capture its underlying dynamics. An efficient way to organize this chaotic system is by contracting limit order book ordering mechanisms that operate under price and time filters. Limit order book can be analyzed using linear and nonlinear models. The thesis develops novelmethods for the identification of limit order book characteristics which provide traders and market makers an information edge in their trading. A good proxy for traders and market makers is the prediction of mid-price movement, which is the main target of this thesis. The contributions of this thesis are categorized chronologically into three parts. The first part refers to the introduction in the literature of the first publicly available limit order book dataset for high-frequency trading for the task of mid-price movement prediction. This dataset comes together with the development of an experimental protocol that utilizes methods inspired by ridge regression and a single layer feed-forward neural network as classifiers. These classifiers use state-of-the-art limit order book features as inputs for the target task. The next contribution of this thesis is the use and development of a wide range of technical and quantitative indicators for the task of mid-price movement prediction via an extensive feature selection process. This feature selection process identifies which features improve predictability performance. The results suggest that the newly introduced quantitative feature based on an adaptive logistic regression model for online learning was selected first according to several criteria. These criteria operate according to entropy, linear discriminant analysis, and least mean square error. The third contribution is the introduction of econometric features as inputs to deep learning models for the task of mid-price movement prediction. An extensive comparison against other state-of-the-art hand-crafted features and fully automated feature extraction processes is provided. Furthermore, a new experimental protocol is developed for the task of mid-price prediction, to overcome the problem of time irregularities, which characterizes high-frequency data. Results suggest that advanced hand-crafted features such as econometric indicators can predict movements of proxies, such as mid-price

AAAI Workshop on Artificial Intelligence with Biased or Scarce Data (AIBSD)

This book is a collection of the accepted papers presented at the Workshop on Artificial Intelligence with Biased or Scarce Data (AIBSD) in conjunction with the 36th AAAI Conference on Artificial Intelligence 2022. During AIBSD 2022, the attendees addressed the existing issues of data bias and scarcity in Artificial Intelligence and discussed potential solutions in real-world scenarios. A set of papers presented at AIBSD 2022 is selected for further publication and included in this book

Superseded: Grammatical theory: From transformational grammar to constraint-based approaches. Second revised and extended edition.

This book is superseded by the third edition, available at http://langsci-press.org/catalog/book/255. This book introduces formal grammar theories that play a role in current linguistic theorizing (Phrase Structure Grammar, Transformational Grammar/Government & Binding, Generalized Phrase Structure Grammar, Lexical Functional Grammar, Categorial Grammar, Head-​Driven Phrase Structure Grammar, Construction Grammar, Tree Adjoining Grammar). The key assumptions are explained and it is shown how the respective theory treats arguments and adjuncts, the active/passive alternation, local reorderings, verb placement, and fronting of constituents over long distances. The analyses are explained with German as the object language. The second part of the book compares these approaches with respect to their predictions regarding language acquisition and psycholinguistic plausibility. The nativism hypothesis, which assumes that humans posses genetically determined innate language-specific knowledge, is critically examined and alternative models of language acquisition are discussed. The second part then addresses controversial issues of current theory building such as the question of flat or binary branching structures being more appropriate, the question whether constructions should be treated on the phrasal or the lexical level, and the question whether abstract, non-visible entities should play a role in syntactic analyses. It is shown that the analyses suggested in the respective frameworks are often translatable into each other. The book closes with a chapter showing how properties common to all languages or to certain classes of languages can be captured. The book is a translation of the German book Grammatiktheorie, which was published by Stauffenburg in 2010. The following quotes are taken from reviews: With this critical yet fair reflection on various grammatical theories, Müller fills what was a major gap in the literature. Karen Lehmann, Zeitschrift für Rezen­sio­nen zur ger­man­is­tis­chen Sprach­wis­senschaft, 2012 Stefan Müller’s recent introductory textbook, Gram­matik­the­o­rie, is an astonishingly comprehensive and insightful survey for beginning students of the present state of syntactic theory. Wolfgang Sternefeld und Frank Richter, Zeitschrift für Sprach­wissen­schaft, 2012 This is the kind of work that has been sought after for a while [...] The impartial and objective discussion offered by the author is particularly refreshing. Werner Abraham, Germanistik, 2012   This book is a new edition of http://langsci-press.org/catalog/book/25

Superseded: Grammatical theory: From transformational grammar to constraint-based approaches. Second revised and extended edition.

This book is superseded by the third edition, available at http://langsci-press.org/catalog/book/255. This book introduces formal grammar theories that play a role in current linguistic theorizing (Phrase Structure Grammar, Transformational Grammar/Government & Binding, Generalized Phrase Structure Grammar, Lexical Functional Grammar, Categorial Grammar, Head-​Driven Phrase Structure Grammar, Construction Grammar, Tree Adjoining Grammar). The key assumptions are explained and it is shown how the respective theory treats arguments and adjuncts, the active/passive alternation, local reorderings, verb placement, and fronting of constituents over long distances. The analyses are explained with German as the object language. The second part of the book compares these approaches with respect to their predictions regarding language acquisition and psycholinguistic plausibility. The nativism hypothesis, which assumes that humans posses genetically determined innate language-specific knowledge, is critically examined and alternative models of language acquisition are discussed. The second part then addresses controversial issues of current theory building such as the question of flat or binary branching structures being more appropriate, the question whether constructions should be treated on the phrasal or the lexical level, and the question whether abstract, non-visible entities should play a role in syntactic analyses. It is shown that the analyses suggested in the respective frameworks are often translatable into each other. The book closes with a chapter showing how properties common to all languages or to certain classes of languages can be captured. The book is a translation of the German book Grammatiktheorie, which was published by Stauffenburg in 2010. The following quotes are taken from reviews: With this critical yet fair reflection on various grammatical theories, Müller fills what was a major gap in the literature. Karen Lehmann, Zeitschrift für Rezen­sio­nen zur ger­man­is­tis­chen Sprach­wis­senschaft, 2012 Stefan Müller’s recent introductory textbook, Gram­matik­the­o­rie, is an astonishingly comprehensive and insightful survey for beginning students of the present state of syntactic theory. Wolfgang Sternefeld und Frank Richter, Zeitschrift für Sprach­wissen­schaft, 2012 This is the kind of work that has been sought after for a while [...] The impartial and objective discussion offered by the author is particularly refreshing. Werner Abraham, Germanistik, 2012   This book is a new edition of http://langsci-press.org/catalog/book/25

Superseded: Grammatical theory: From transformational grammar to constraint-based approaches. Second revised and extended edition.

This book is superseded by the third edition, available at http://langsci-press.org/catalog/book/255. This book introduces formal grammar theories that play a role in current linguistic theorizing (Phrase Structure Grammar, Transformational Grammar/Government & Binding, Generalized Phrase Structure Grammar, Lexical Functional Grammar, Categorial Grammar, Head-​Driven Phrase Structure Grammar, Construction Grammar, Tree Adjoining Grammar). The key assumptions are explained and it is shown how the respective theory treats arguments and adjuncts, the active/passive alternation, local reorderings, verb placement, and fronting of constituents over long distances. The analyses are explained with German as the object language. The second part of the book compares these approaches with respect to their predictions regarding language acquisition and psycholinguistic plausibility. The nativism hypothesis, which assumes that humans posses genetically determined innate language-specific knowledge, is critically examined and alternative models of language acquisition are discussed. The second part then addresses controversial issues of current theory building such as the question of flat or binary branching structures being more appropriate, the question whether constructions should be treated on the phrasal or the lexical level, and the question whether abstract, non-visible entities should play a role in syntactic analyses. It is shown that the analyses suggested in the respective frameworks are often translatable into each other. The book closes with a chapter showing how properties common to all languages or to certain classes of languages can be captured. The book is a translation of the German book Grammatiktheorie, which was published by Stauffenburg in 2010. The following quotes are taken from reviews: With this critical yet fair reflection on various grammatical theories, Müller fills what was a major gap in the literature. Karen Lehmann, Zeitschrift für Rezen­sio­nen zur ger­man­is­tis­chen Sprach­wis­senschaft, 2012 Stefan Müller’s recent introductory textbook, Gram­matik­the­o­rie, is an astonishingly comprehensive and insightful survey for beginning students of the present state of syntactic theory. Wolfgang Sternefeld und Frank Richter, Zeitschrift für Sprach­wissen­schaft, 2012 This is the kind of work that has been sought after for a while [...] The impartial and objective discussion offered by the author is particularly refreshing. Werner Abraham, Germanistik, 2012   This book is a new edition of http://langsci-press.org/catalog/book/25

Grammatical theory

This book introduces formal grammar theories that play a role in current linguistic theorizing (Phrase Structure Grammar, Transformational Grammar/Government & Binding, Generalized Phrase Structure Grammar, Lexical Functional Grammar, Categorial Grammar, Head-​Driven Phrase Structure Grammar, Construction Grammar, Tree Adjoining Grammar). The key assumptions are explained and it is shown how the respective theory treats arguments and adjuncts, the active/passive alternation, local reorderings, verb placement, and fronting of constituents over long distances. The analyses are explained with German as the object language. The second part of the book compares these approaches with respect to their predictions regarding language acquisition and psycholinguistic plausibility. The nativism hypothesis, which assumes that humans posses genetically determined innate language-specific knowledge, is critically examined and alternative models of language acquisition are discussed. The second part then addresses controversial issues of current theory building such as the question of flat or binary branching structures being more appropriate, the question whether constructions should be treated on the phrasal or the lexical level, and the question whether abstract, non-visible entities should play a role in syntactic analyses. It is shown that the analyses suggested in the respective frameworks are often translatable into each other. The book closes with a chapter showing how properties common to all languages or to certain classes of languages can be captured. The book is a translation of the German book Grammatiktheorie, which was published by Stauffenburg in 2010. The following quotes are taken from reviews: With this critical yet fair reflection on various grammatical theories, Müller fills what was a major gap in the literature. Karen Lehmann, Zeitschrift für Rezen­sio­nen zur ger­man­is­tis­chen Sprach­wis­senschaft, 2012 Stefan Müller’s recent introductory textbook, Gram­matik­the­o­rie, is an astonishingly comprehensive and insightful survey for beginning students of the present state of syntactic theory. Wolfgang Sternefeld und Frank Richter, Zeitschrift für Sprach­wissen­schaft, 2012 This is the kind of work that has been sought after for a while [...] The impartial and objective discussion offered by the author is particularly refreshing. Werner Abraham, Germanistik, 201

Grammatical theory: From transformational grammar to constraint-based approaches. Second revised and extended edition.

This book is superseded by the third edition, available at http://langsci-press.org/catalog/book/255. This book introduces formal grammar theories that play a role in current linguistic theorizing (Phrase Structure Grammar, Transformational Grammar/Government & Binding, Generalized Phrase Structure Grammar, Lexical Functional Grammar, Categorial Grammar, Head-​Driven Phrase Structure Grammar, Construction Grammar, Tree Adjoining Grammar). The key assumptions are explained and it is shown how the respective theory treats arguments and adjuncts, the active/passive alternation, local reorderings, verb placement, and fronting of constituents over long distances. The analyses are explained with German as the object language. The second part of the book compares these approaches with respect to their predictions regarding language acquisition and psycholinguistic plausibility. The nativism hypothesis, which assumes that humans posses genetically determined innate language-specific knowledge, is critically examined and alternative models of language acquisition are discussed. The second part then addresses controversial issues of current theory building such as the question of flat or binary branching structures being more appropriate, the question whether constructions should be treated on the phrasal or the lexical level, and the question whether abstract, non-visible entities should play a role in syntactic analyses. It is shown that the analyses suggested in the respective frameworks are often translatable into each other. The book closes with a chapter showing how properties common to all languages or to certain classes of languages can be captured. The book is a translation of the German book Grammatiktheorie, which was published by Stauffenburg in 2010. The following quotes are taken from reviews: With this critical yet fair reflection on various grammatical theories, Müller fills what was a major gap in the literature. Karen Lehmann, Zeitschrift für Rezen­sio­nen zur ger­man­is­tis­chen Sprach­wis­senschaft, 2012 Stefan Müller’s recent introductory textbook, Gram­matik­the­o­rie, is an astonishingly comprehensive and insightful survey for beginning students of the present state of syntactic theory. Wolfgang Sternefeld und Frank Richter, Zeitschrift für Sprach­wissen­schaft, 2012 This is the kind of work that has been sought after for a while [...] The impartial and objective discussion offered by the author is particularly refreshing. Werner Abraham, Germanistik, 2012   This book is a new edition of http://langsci-press.org/catalog/book/25