Abstract

In this paper, we build a deep neural network for modeling spatial structure in limit order book and make prediction for future best ask or best bid price based on ideas of (Sirignano 2016). We propose an intuitive data processing method to approximate the data is non-available for us based only on level I data that is more widely available. The model is based on the idea that there is local dependence for best ask or best bid price and sizes of related orders. First we use logistic regression to prove that this approach is reasonable. To show the advantages of deep neural network, we try different activation functions and compare the performances and program running time with other algorithms, such as logistic regression, kNN and random forest. And the deep neural network is the model that most suitable for limit order book. Besides this, the model contains an effective way to reduce overfitting problems. Also, this paper presents the limitations of our model and gives several methods to make improvements.

Committee Chair

Jose Figueroa-Lopez

Committee Members

Nan Lin, Jimin Ding

Comments

Permanent URL: https://doi.org/10.7936/K7MG7NZQ

Degree

Master of Arts (AM/MA)

Author's Department

Mathematics

Author's School

Graduate School of Arts and Sciences

Document Type

Thesis

Date of Award

Spring 5-18-2018

Language

English (en)

Download

Included in

Mathematics Commons

Share

COinS