Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks
Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks
Avraam Tsantekidis,Nikolaos Passalis,3 Authors,Alexandros Iosifidis
2017 · DOI: 10.1109/CBI.2017.23
Conference on Business Informatics · 296 Citations
TLDR
This work proposed a deep learning methodology, based on Convolutional Neural Networks (CNNs), that predicts the price movements of stocks, using as input large-scale, high-frequency time-series derived from the order book of financial exchanges.