I am trying to implement machine learning to predict the movement of bid and ask price but is unable to find the proper feature for training set. I am using Support Vector Machine for binary classification.


Features could include:

  • Bid-ask spread
  • Bid-ask volume imbalance
  • Signed transaction volume

The sign in the Signed transaction volume is positive if the buyer has issued a market order and negative if the seller issued a market order.

A great introductory plain English paper on high frequency trading machine learning applications can be found here.

A good blog post with information relevant to the subject can be found here.

  • $\begingroup$ Thanks for the reply , but for creating training set,how will i generate labels for binary classification with given order depth. $\endgroup$ – user3703826 Jan 19 '15 at 4:29
  • $\begingroup$ That depends on what you are trying to predict. If you are trying to predict an upward movement, then Y could be a binary flag reflecting whether some measure of price increased by a selected amount in the next _ seconds. $\endgroup$ – jaamor Jan 19 '15 at 14:24
  • $\begingroup$ I am trying to predict the direction of movement of Last trade price using binary flag .. but the problem is LTP can also be same so what i must do .I have to binary classify that data i.e either higher or lower.. $\endgroup$ – user3703826 Jan 20 '15 at 17:23

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