2
$\begingroup$

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.

$\endgroup$
3
$\begingroup$

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.

$\endgroup$
  • $\begingroup$ 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

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.