118 citations · 152 across the 6 of their papers we have counts for
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cs.CE2018★ 4 cited
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…
cs.CE2017★ 118 cited
Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods
Adamantios Ntakaris, Martin Magris, Juho Kanniainen +2
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the i…