Order book mid-price movement inference by CatBoost classifier from convolutional feature maps-Reference-Cited by-同舟云学术

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Order book mid-price movement inference by CatBoost classifier from convolutional feature maps

Published:2022-02 Issue: Volume:116 Page:108274
ISSN:1568-4946
Container-title:Applied Soft Computing
language:en
Short-container-title:Applied Soft Computing

Author:

Bileki Guilherme A.^ORCID,Barboza Flávio,Silva Luiz Henrique C.^ORCID,Bonato Vanderlei

Funder

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Publisher

Elsevier BV

Subject

Software

Reference27 articles.

1. High-Frequency Trading: A Practical Guide To Algorithmic Strategies and Trading Systems, Vol. 459;Aldridge,2009

2. All About High-Frequency Trading;Durbin,2010

3. Fairness in financial markets: The case of high frequency trading;Angel;J. Bus. Ethics,2013

4. Modelling high-frequency limit order book dynamics with support vector machines;Kercheval;Quant. Finance,2015

5. Deep learning-based forecasting of financial assets;Widegren,2017

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