Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning
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Framework to capture the dynamics of high-frequency limit order books.
Overview
In this project I used machine learning methods to capture the high-frequency limit order book dynamics and simple trading strategy to get the P&L outcomes.
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Feature Extractor
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Rise Ratio
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Depth Ratio
[Note] : [Feature_Selection] (Feature_Selection)
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Learning Model Trainer
- RandomForestClassifier
- ExtraTreesClassifier
- AdaBoostClassifier
- GradientBoostingClassifier
- SVM
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Use best model to predict next 10 seconds
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Prediction outcome
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Profit & Loss
[Note] : [Model_Selection] (Model_Selection)