2017 IEEE 19th Conference on Business Informatics (CBI) (2017)
July 24, 2017 to July 27, 2017
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/CBI.2017.23
In today's financial markets, where most trades are performed in their entirety by electronic means and the largest fraction of them is completely automated, an opportunity has risen from analyzing this vast amount of transactions. Since all the transactions are recorded in great detail, investors can analyze all the generated data and detect repeated patterns of the price movements. Being able to detect them in advance, allows them to take profitable positions or avoid anomalous events in the financial markets. In this work we 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. The dataset that we use contains more than 4 million limit order events and our comparison with other methods, like Multilayer Neural Networks and Support Vector Machines, shows that CNNs are better suited for this kind of task.
Mathematical model, Neural networks, Machine learning, Market research, Support vector machines, Convolution, Data models
A. Tsantekidis, N. Passalis, A. Tefas, J. Kanniainen, M. Gabbouj and A. Iosifidis, "Forecasting Stock Prices from the Limit Order Book Using Convolutional Neural Networks," 2017 IEEE 19th Conference on Business Informatics (CBI), Thessaloniki, Greece, 2017, pp. 7-12.