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Ensemble Methods for Capturing Dynamics of Limit Order Books

Title: Ensemble Methods for Capturing Dynamics of Limit Order Books.
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Name(s): Wang, Jian, author
Zhang, Jinfeng, professor co-directing dissertation
Ökten, Giray, professor co-directing dissertation
Kercheval, Alec N., committee member
Mio, Washington, committee member
Simon, Capstick C., university representative
Florida State University, degree granting institution
College of Arts and Sciences, degree granting college
Department of Mathematics, degree granting department
Type of Resource: text
Genre: Text
Doctoral Thesis
Issuance: monographic
Date Issued: 2017
Publisher: Florida State University
Place of Publication: Tallahassee, Florida
Physical Form: computer
online resource
Extent: 1 online resource (108 pages)
Language(s): English
Abstract/Description: According to rapid development in information technology, limit order books(LOB) mechanism has emerged to prevail in today's nancial market. In this paper, we propose ensemble machine learning architectures for capturing the dynamics of high-frequency limit order books such as predicting price spread crossing opportunities in a future time interval. The paper is more data-driven oriented, so experiments with ve real-time stock data from NASDAQ, measured by nanosecond, are established. The models are trained and validated by training and validation data sets. Compared with other models, such as logistic regression, support vector machine(SVM), our out-of-sample testing results has shown that ensemble methods had better performance on both statistical measurements and computational eciency. A simple trading strategy that we devised by our models has shown good prot and loss(P&L) results. Although this paper focuses on limit order books, the similar frameworks and processes can be extended to other classication research area. Keywords: limit order books, high-frequency trading, data analysis, ensemble methods, F1 score.
Identifier: FSU_SUMMER2017_Wang_fsu_0071E_14047 (IID)
Submitted Note: A Dissertation submitted to the Department of Mathematics in partial fulfillment of the requirements for the degree of Doctor of Philosophy.
Degree Awarded: Summer Semester 2017.
Date of Defense: July 18, 2017.
Bibliography Note: Includes bibliographical references.
Advisory Committee: Jinfeng Zhang, Professor Co-Directing Dissertation; Giray Okten, Professor Co-Directing Dissertation; Alec Kercheval, Committee Member; Washington Mio, Committee Member; Capstick Simon, University Representative.
Subject(s): Mathematics
Persistent Link to This Record: http://purl.flvc.org/fsu/fd/FSU_SUMMER2017_Wang_fsu_0071E_14047
Owner Institution: FSU

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Wang, J. (2017). Ensemble Methods for Capturing Dynamics of Limit Order Books. Retrieved from http://purl.flvc.org/fsu/fd/FSU_SUMMER2017_Wang_fsu_0071E_14047