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SGX-OrderBook-Tick-Data-Trading-Strategy

Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning

  • Framework to capture the dynamics of high-frequency limit order books.

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  • Feature Extractor

    • Rise Ratio

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    • Depth Ratio

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  • Learning Model Trainer

    • RandomForestClassifier\ExtraTreesClassifier\AdaBoostClassifier\GradientBoostingClassifier\SVM

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Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning.

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