High-Frequency Trading with Machine Learning Algorithms and Limit Order Book Data
In this paper, we examine the usefulness of machine learning methods such as support vector machines, random forests and bagging for the extraction of information from the limit order book that can be used for intraday trading. For our empirical analysis, we first get 50 raw features from the LOBSTE...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2022-12-01
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| Series: | Data Science in Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/DSFE.2022022?viewType=HTML |