Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning

• 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.

• Feature Extractor

  • Rise Ratio

    

  • Depth Ratio

    

    [Note] : [Feature_Selection] (Feature_Selection)

• Learning Model Trainer

  • RandomForestClassifier
  • ExtraTreesClassifier
  • AdaBoostClassifier
  • GradientBoostingClassifier
  • SVM

• Use best model to predict next 10 seconds

  

• Prediction outcome

  

• Profit & Loss

  

  [Note] : [Model_Selection] (Model_Selection)