3 papers
q-fin.ST2019
Mid-price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators
Adamantios Ntakaris, Juho Kanniainen, Moncef Gabbouj +1
Stock price prediction is a challenging task, but machine learning methods have recently been used successfully for this purpose. In this paper, we extract over 270 hand-crafted fe…
q-fin.ST2019
Feature Engineering for Mid-Price Prediction with Deep Learning
Adamantios Ntakaris, Giorgio Mirone, Juho Kanniainen +2
Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempt…
cs.CE2018
Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data
Paraskevi Nousi, Avraam Tsantekidis, Nikolaos Passalis +5
Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the predict…