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Framework to capture the dynamics of high-frequency limit order books.
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Feature Extractor
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Rise Ratio
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Depth Ratio
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Learning Model Trainer
- RandomForestClassifier
- ExtraTreesClassifier
- AdaBoostClassifier
- GradientBoostingClassifier
- SVM
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Use best model to predict next 10 seconds
forked from Yvictor/SGX-OrderBook-Tick-Data-Trading-Strategy
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Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning.
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