Deep learning models for high-frequency financial data
Abhinav, -
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https://hdl.handle.net/2142/105959
Description
Title
Deep learning models for high-frequency financial data
Author(s)
Abhinav, -
Issue Date
2019-07-18
Director of Research (if dissertation) or Advisor (if thesis)
Peng, Jian
Committee Member(s)
Sirignano, Justin
Department of Study
Computer Science
Discipline
Computer Science
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Keyword(s)
Deep learning
finance
limit order book
high frequency data
time series
lstm
non uniform time series
state of the art
Abstract
The limit order book of a financial instrument represents its supply and demand at each point in time. The limit order book data can be used to predict the future price of the financial instrument. We develop deep learning models to capture the high dimensional data distributions (on R^d) of the limit order data. These models exploit the underlying structure of this complex data.
We develop a uniform data grid model for limit order book data to achieve state-of-the-art accuracy for predicting price changes in a stock. We also develop a novel way to use non-uniform events from the limit order book data to train a non-uniform grid data model. This model substantially and consistently outperforms our uniform data grid model. Both the models have been trained and tested over a wide range of periods spanning multiple years for many stocks.
The out-of-sample predictions are stable across time for both the models as shown by tests for multiple stocks. Given the huge size of the dataset we use a cluster of CPUs and GPUs to perform our experiments.
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