Matches in SemOpenAlex for { <https://semopenalex.org/work/W4312386248> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W4312386248 endingPage "463" @default.
- W4312386248 startingPage "437" @default.
- W4312386248 abstract "<abstract><p>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 LOBSTER message file and order book file of the iShares Core S & P 500 ETF for the time period from 27.06.2007 to 30.04.2019 and then construct 18 higher-level features (aggregated to 5 minutes frequency) which serve as predictors. Using straightforward specifications for the machine learning procedures and thereby avoiding excessive data snooping, we find that these procedures are unable to find high dimensional patterns in the order book that could be used for trading purposes. The observed significant predictability is mainly due to the inclusion of only one variable, namely the last price change, and is probably too small to ensure profitability once transaction costs are taken into account.</p></abstract>" @default.
- W4312386248 created "2023-01-04" @default.
- W4312386248 creator A5032527996 @default.
- W4312386248 creator A5043783371 @default.
- W4312386248 creator A5059514691 @default.
- W4312386248 creator A5068539940 @default.
- W4312386248 date "2022-01-01" @default.
- W4312386248 modified "2023-10-10" @default.
- W4312386248 title "High-Frequency Trading with Machine Learning Algorithms and Limit Order Book Data" @default.
- W4312386248 cites W1499771635 @default.
- W4312386248 cites W1505330957 @default.
- W4312386248 cites W1527164095 @default.
- W4312386248 cites W1981258337 @default.
- W4312386248 cites W1988518729 @default.
- W4312386248 cites W2029921820 @default.
- W4312386248 cites W2032170121 @default.
- W4312386248 cites W2074713408 @default.
- W4312386248 cites W2139113919 @default.
- W4312386248 cites W2326346886 @default.
- W4312386248 cites W2890255136 @default.
- W4312386248 cites W2984833068 @default.
- W4312386248 cites W3090495835 @default.
- W4312386248 cites W3101887461 @default.
- W4312386248 cites W3122281927 @default.
- W4312386248 cites W3166193611 @default.
- W4312386248 doi "https://doi.org/10.3934/dsfe.2022022" @default.
- W4312386248 hasPublicationYear "2022" @default.
- W4312386248 type Work @default.
- W4312386248 citedByCount "1" @default.
- W4312386248 crossrefType "journal-article" @default.
- W4312386248 hasAuthorship W4312386248A5032527996 @default.
- W4312386248 hasAuthorship W4312386248A5043783371 @default.
- W4312386248 hasAuthorship W4312386248A5059514691 @default.
- W4312386248 hasAuthorship W4312386248A5068539940 @default.
- W4312386248 hasBestOaLocation W43123862481 @default.
- W4312386248 hasConcept C10138342 @default.
- W4312386248 hasConcept C105795698 @default.
- W4312386248 hasConcept C106159729 @default.
- W4312386248 hasConcept C11413529 @default.
- W4312386248 hasConcept C119857082 @default.
- W4312386248 hasConcept C12267149 @default.
- W4312386248 hasConcept C127722929 @default.
- W4312386248 hasConcept C129361004 @default.
- W4312386248 hasConcept C134306372 @default.
- W4312386248 hasConcept C151201525 @default.
- W4312386248 hasConcept C154945302 @default.
- W4312386248 hasConcept C162324750 @default.
- W4312386248 hasConcept C169258074 @default.
- W4312386248 hasConcept C182306322 @default.
- W4312386248 hasConcept C182365436 @default.
- W4312386248 hasConcept C197640229 @default.
- W4312386248 hasConcept C2779309563 @default.
- W4312386248 hasConcept C33923547 @default.
- W4312386248 hasConcept C41008148 @default.
- W4312386248 hasConcept C75949130 @default.
- W4312386248 hasConcept C77088390 @default.
- W4312386248 hasConcept C78508483 @default.
- W4312386248 hasConceptScore W4312386248C10138342 @default.
- W4312386248 hasConceptScore W4312386248C105795698 @default.
- W4312386248 hasConceptScore W4312386248C106159729 @default.
- W4312386248 hasConceptScore W4312386248C11413529 @default.
- W4312386248 hasConceptScore W4312386248C119857082 @default.
- W4312386248 hasConceptScore W4312386248C12267149 @default.
- W4312386248 hasConceptScore W4312386248C127722929 @default.
- W4312386248 hasConceptScore W4312386248C129361004 @default.
- W4312386248 hasConceptScore W4312386248C134306372 @default.
- W4312386248 hasConceptScore W4312386248C151201525 @default.
- W4312386248 hasConceptScore W4312386248C154945302 @default.
- W4312386248 hasConceptScore W4312386248C162324750 @default.
- W4312386248 hasConceptScore W4312386248C169258074 @default.
- W4312386248 hasConceptScore W4312386248C182306322 @default.
- W4312386248 hasConceptScore W4312386248C182365436 @default.
- W4312386248 hasConceptScore W4312386248C197640229 @default.
- W4312386248 hasConceptScore W4312386248C2779309563 @default.
- W4312386248 hasConceptScore W4312386248C33923547 @default.
- W4312386248 hasConceptScore W4312386248C41008148 @default.
- W4312386248 hasConceptScore W4312386248C75949130 @default.
- W4312386248 hasConceptScore W4312386248C77088390 @default.
- W4312386248 hasConceptScore W4312386248C78508483 @default.
- W4312386248 hasIssue "4" @default.
- W4312386248 hasLocation W43123862481 @default.
- W4312386248 hasOpenAccess W4312386248 @default.
- W4312386248 hasPrimaryLocation W43123862481 @default.
- W4312386248 hasRelatedWork W1996541855 @default.
- W4312386248 hasRelatedWork W2985924212 @default.
- W4312386248 hasRelatedWork W3195168932 @default.
- W4312386248 hasRelatedWork W3195610867 @default.
- W4312386248 hasRelatedWork W4308191010 @default.
- W4312386248 hasRelatedWork W4321636153 @default.
- W4312386248 hasRelatedWork W4323021782 @default.
- W4312386248 hasRelatedWork W4327511089 @default.
- W4312386248 hasRelatedWork W4377964522 @default.
- W4312386248 hasRelatedWork W4381414210 @default.
- W4312386248 hasVolume "2" @default.
- W4312386248 isParatext "false" @default.
- W4312386248 isRetracted "false" @default.
- W4312386248 workType "article" @default.