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Full-Text Articles in Statistical Models
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 …
Semi-Parametric Regression For The Area Under The Receiver Operating Characteristic Curve, Lori E. Dodd, Margaret S. Pepe
Semi-Parametric Regression For The Area Under The Receiver Operating Characteristic Curve, Lori E. Dodd, Margaret S. Pepe
UW Biostatistics Working Paper Series
Medical advances continue to provide new and potentially better means for detecting disease. Such is true in cancer, for example, where biomarkers are sought for early detection and where improvements in imaging methods may pick up the initial functional and molecular changes associated with cancer development. In other binary classification tasks, computational algorithms such as Neural Networks, Support Vector Machines and Evolutionary Algorithms have been applied to areas as diverse as credit scoring, object recognition, and peptide-binding prediction. Before a classifier becomes an accepted technology, it must undergo rigorous evaluation to determine its ability to discriminate between states. Characterization of …