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Full-Text Articles in Probability
Deep Learning Analysis Of Limit Order Book, Xin Xu
Deep Learning Analysis Of Limit Order Book, Xin Xu
Arts & Sciences Electronic Theses and Dissertations
In this paper, we build a deep neural network for modeling spatial structure in limit order book and make prediction for future best ask or best bid price based on ideas of (Sirignano 2016). We propose an intuitive data processing method to approximate the data is non-available for us based only on level I data that is more widely available. The model is based on the idea that there is local dependence for best ask or best bid price and sizes of related orders. First we use logistic regression to prove that this approach is reasonable. To show the advantages …
Statistical Analysis Of Markovian Queueing Models Of Limit Order Books, Yiyao Luo
Statistical Analysis Of Markovian Queueing Models Of Limit Order Books, Yiyao Luo
Arts & Sciences Electronic Theses and Dissertations
The objective of this thesis is to investigate the suitability of some Markovian queueing models in being able to effectively describe the dynamical properties of a limit order book more specifically. We review and compare the assumptions proposed by Huang et al.[Quantitative Finance,12,547-557(2012)] and Cont et al.[SIAM Journal for Financial Mathematics,4,1- 25(2013)], and estimate the intensity parameters in both ways, based on real data of a stock on the Nasdaq Stock Market. Trough comparing by cumulative distribution functions of first-passage time to state 0, we will hsow that the estimators of Cont’s model fit our data better and we put …
A Traders Guide To The Predictive Universe- A Model For Predicting Oil Price Targets And Trading On Them, Jimmie Harold Lenz
A Traders Guide To The Predictive Universe- A Model For Predicting Oil Price Targets And Trading On Them, Jimmie Harold Lenz
Doctor of Business Administration Dissertations
At heart every trader loves volatility; this is where return on investment comes from, this is what drives the proverbial “positive alpha.” As a trader, understanding the probabilities related to the volatility of prices is key, however if you could also predict future prices with reliability the world would be your oyster. To this end, I have achieved three goals with this dissertation, to develop a model to predict future short term prices (direction and magnitude), to effectively test this by generating consistent profits utilizing a trading model developed for this purpose, and to write a paper that anyone with …