4 papers
Scale-Invariant Learning-to-Rank
Alessio Petrozziello, Christian Sommeregger, Ye-Sheen Lim
At Expedia, learning-to-rank (LTR) models plays a key role on our website in sorting and presenting information more relevant to users, such as search filters, property rooms, amen…
Intra-Day Price Simulation with Generative Adversarial Modelling of the Order Flow
Ye-Sheen Lim, Denise Gorse
Intra-day price variations in financial markets are driven by the sequence of orders, called the order flow, that is submitted at high frequency by traders. This paper introduces a…
Deep Recurrent Modelling of Stationary Bitcoin Price Formation Using the Order Flow
Ye-Sheen Lim, Denise Gorse
In this paper we propose a deep recurrent model based on the order flow for the stationary modelling of the high-frequency directional prices movements. The order flow is the micro…
Deep Probabilistic Modelling of Price Movements for High-Frequency Trading
Ye-Sheen Lim, Denise Gorse
In this paper we propose a deep recurrent architecture for the probabilistic modelling of high-frequency market prices, important for the risk management of automated trading syste…