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Ensembled LSTM with walk forward optimization in algorithmic trading

Chojnacki, Karol; Ślepaczuk, Robert - 2023

Persistent link: https://www.econbiz.de/10014308890

Essays on machine learning and finance

Schnaubelt, Matthias - 2020

Persistent link: https://www.econbiz.de/10012288443

Stylized algorithmic trading : satisfying the predictive near-term demand of liquidity

Sun, Edward W.; Kruse, Timm; Chen, Yi-Ting - In: Decision making and risk/return optimization in …, (pp. 315-347). 2019

Persistent link: https://www.econbiz.de/10012134866

Artificial intelligence applications on Wall Street

Slade, Stephen (ed.) - 2018

Persistent link: https://www.econbiz.de/10011779697

Forecasting high-frequency stock returns : a comparison of alternative methods

Akyildirim, Erdinc; Bariviera, Aurelio Fernández; … - In: Risk management decisions and value under uncertainty, (pp. 639-690). 2022

Persistent link: https://www.econbiz.de/10013341974

Deep order flow imbalance : extracting alpha at multiple horizons from the limit order book

Kolm, Petter N.; Turiel, Jeremy; Westray, Nicholas - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1044-1081

Persistent link: https://www.econbiz.de/10014370626

A generative model of a limit order book using recurrent neural networks

Hultin, Hanna; Hult, Henrik; Proutiere, Alexandre; … - In: Quantitative finance 23 (2023) 6, pp. 931-958

Persistent link: https://www.econbiz.de/10014304400

Novel modelling strategies for high-frequency stock trading data

Zhang, Xuekui; Huang, Yuying; Xu, Ke; Xing, Li - In: Financial innovation : FIN 9 (2023) 1, pp. 1-25

Full electronic automation in stock exchanges has recently become popular, generating high-frequency intraday data and motivating the development of near real-time price forecasting methods. Machine learning algorithms are widely applied to mid-price stock predictions. Processing raw data as...

Persistent link: https://www.econbiz.de/10014288960

Macroeconomic forecasting using factor models and machine learning : an application to Japan

Maehashi, Kohei; Shintani, Mototsugu - 2020

Persistent link: https://www.econbiz.de/10013329759

Machine learning advances for time series forecasting

Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - In: Journal of economic surveys 37 (2023) 1, pp. 76-111

Persistent link: https://www.econbiz.de/10014287800

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