Modelling high-frequency limit order book dynamics with support vector machines

Alec N. Kercheval and Yuan Zhang

Quantitative Finance, 2015, vol. 15, issue 8, 1315-1329

Abstract: We propose a machine learning framework to capture the dynamics of high-frequency limit order books in financial equity markets and automate real-time prediction of metrics such as mid-price movement and price spread crossing. By characterizing each entry in a limit order book with a vector of attributes such as price and volume at different levels, the proposed framework builds a learning model for each metric with the help of multi-class support vector machines. Experiments with real data establish that features selected by the proposed framework are effective for short-term price movement forecasts.

Date: 2015
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Citations: View citations in EconPapers (33)

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DOI: 10.1080/14697688.2015.1032546

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