Tagged Questions
8
votes
4answers
366 views
Position management in presence of continuous forecast
Let's say we have an equity liquidity-providing model that was fitted on 1 minute bar periods. The model forecasts the 1-min next period return given the activity of the previous bars. Now, when we ...
17
votes
2answers
3k views
What types of neural networks are most appropriate for trading?
What types of neural networks are most appropriate for forecasting returns? Can neural networks be the basis for a high-frequency trading strategy?
Types of neural networks include:
Support Vector ...
15
votes
2answers
1k views
How to forecast volatility using high-frequency data?
There is a large literature covering volatility forecasts with high-frequency tick data. Much of this has surrounded the concept of "realized volatility", such as:
"Realized Volatility and ...
