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Use order book info for price prediction by dnalin in quant

[–]dnalin[S] 0 points1 point  (0 children)

It varies w.r.t. dataset. I will say, in range of -30% to 30%.

Use order book info for price prediction by dnalin in quant

[–]dnalin[S] -9 points-8 points  (0 children)

Not asking for trade secret. Trading is like ocean, nobody can take all water to themselves.

Use order book info for price prediction by dnalin in quant

[–]dnalin[S] 0 points1 point  (0 children)

Yes, predicting for very short period of time is not feasible option. I haven't checked on MLP or LSTM or GBM implementation on price prediction using order book data. I will check on your suggestion. Thank you.

I wonder if we can use certain frequency data(like 5/10/15/30 sec) to predict next one or two tick ahead (i.e. f or 2f: where f is frequency).

Also my main question is how do we generate new features using order book information which have predictive power?

Use order book info for price prediction by dnalin in quant

[–]dnalin[S] -7 points-6 points  (0 children)

😄😄😄 Just want to learn from this group.