Price spread prediction in high-frequency pairs trading using deep learning architectures
Author
Abstract
Suggested Citation
DOI: 10.1016/j.irfa.2024.103793
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Ye, Wuyi & Yang, Jinting & Chen, Pengzhan, 2024. "Short-term stock price trend prediction with imaging high frequency limit order book data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1189-1205.
- Vincent Van Kervel & Albert J. Menkveld, 2019.
"High‐Frequency Trading around Large Institutional Orders,"
Journal of Finance, American Finance Association, vol. 74(3), pages 1091-1137, June.
- Vincent van Kervel & Albert J. Menkveld, 2017. "High-Frequency Trading around Large Institutional Orders," Tinbergen Institute Discussion Papers 17-092/IV, Tinbergen Institute.
- Chengyu Li & Luyi Shen & Guoqi Qian, 2023. "Online Hybrid Neural Network for Stock Price Prediction: A Case Study of High-Frequency Stock Trading in the Chinese Market," Econometrics, MDPI, vol. 11(2), pages 1-19, May.
- Cheung, Yin-Wong & Lai, Kon S, 1995. "Lag Order and Critical Values of the Augmented Dickey-Fuller Test," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 277-280, July.
- Xuekui Zhang & Yuying Huang & Ke Xu & Li Xing, 2023. "Novel modelling strategies for high-frequency stock trading data," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
- Malceniece, Laura & Malcenieks, Kārlis & Putniņš, Tālis J., 2019. "High frequency trading and comovement in financial markets," Journal of Financial Economics, Elsevier, vol. 134(2), pages 381-399.
- Dawei Liang & Yue Xu & Yan Hu & Qianqian Du, 2023. "Intraday Return Forecasts and High-Frequency Trading of Stock Index Futures: A Hybrid Wavelet-Deep Learning Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 59(7), pages 2118-2128, May.
- Yen-Wu Ti & Tian-Shyr Dai & Kuan-Lun Wang & Hao-Han Chang & You-Jia Sun, 2024. "Improving Cointegration-Based Pairs Trading Strategy with Asymptotic Analyses and Convergence Rate Filters," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2717-2745, November.
- Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
- Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021.
"Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies,"
The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
- Petukhina, Alla A. & Reule, Raphael C. G. & Härdle, Wolfgang Karl, 2019. "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," IRTG 1792 Discussion Papers 2019-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Hardle, 2020. "Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies," Papers 2009.04200, arXiv.org.
- Petter N. Kolm & Jeremy Turiel & Nicholas Westray, 2023. "Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1044-1081, October.
- Schnaubelt, Matthias, 2022. "Deep reinforcement learning for the optimal placement of cryptocurrency limit orders," European Journal of Operational Research, Elsevier, vol. 296(3), pages 993-1006.
- José Cerda & Nicolás Rojas-Morales & Marcel C. Minutolo & Werner Kristjanpoller, 2022. "High Frequency and Dynamic Pairs Trading with Ant Colony Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1251-1275, March.
- Daigo Tashiro & Hiroyasu Matsushima & Kiyoshi Izumi & Hiroki Sakaji, 2019. "Encoding of high-frequency order information and prediction of short-term stock price by deep learning," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1499-1506, September.
- Flori, Andrea & Regoli, Daniele, 2021. "Revealing Pairs-trading opportunities with long short-term memory networks," European Journal of Operational Research, Elsevier, vol. 295(2), pages 772-791.
- GholamReza Keshavarz Haddad & Hassan Talebi, 2023. "The profitability of pair trading strategy in stock markets: Evidence from Toronto stock exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 193-207, January.
- Seungho Baek & Mina Glambosky & Seok Hee Oh & Jeong Lee, 2020. "Machine Learning and Algorithmic Pairs Trading in Futures Markets," Sustainability, MDPI, vol. 12(17), pages 1-24, August.
- Fan Fang & Waichung Chung & Carmine Ventre & Michail Basios & Leslie Kanthan & Lingbo Li & Fan Wu, 2024. "Ascertaining price formation in cryptocurrency markets with machine learning," The European Journal of Finance, Taylor & Francis Journals, vol. 30(1), pages 78-100, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Kriebel, Johannes & Stitz, Lennart, 2022. "Credit default prediction from user-generated text in peer-to-peer lending using deep learning," European Journal of Operational Research, Elsevier, vol. 302(1), pages 309-323.
- Lu Zhang & Lei Hua, 2025. "Major Issues in High-Frequency Financial Data Analysis: A Survey of Solutions," Mathematics, MDPI, vol. 13(3), pages 1-40, January.
- Jasmin Gider & Simon N. M. Schmickler & Christian Westheide, 2021. "High-Frequency Trading and Price Informativeness," CRC TR 224 Discussion Paper Series crctr224_2021_257, University of Bonn and University of Mannheim, Germany.
- Sean Foley & Tom G Meling & Bernt Arne Ødegaard, 2023. "Tick Size Wars: The Market Quality Effects of Pricing Grid Competition," Review of Finance, European Finance Association, vol. 27(2), pages 659-692.
- Ye, Wuyi & Yang, Jinting & Chen, Pengzhan, 2024. "Short-term stock price trend prediction with imaging high frequency limit order book data," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1189-1205.
- Cox, Justin & Woods, Donovan, 2023. "COVID-19 and market structure dynamics," Journal of Banking & Finance, Elsevier, vol. 147(C).
- Michael Goldstein & Amy Kwan & Richard Philip, 2023. "High-Frequency Trading Strategies," Management Science, INFORMS, vol. 69(8), pages 4413-4434, August.
- Dodd, Olga & Frijns, Bart & Indriawan, Ivan & Pascual, Roberto, 2023. "US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 301-320.
- Mark J Holmes & Jesús Otero & Theodore Panagiotidis, 2018.
"Climbing the property ladder: An analysis of market integration in London property prices,"
Urban Studies, Urban Studies Journal Limited, vol. 55(12), pages 2660-2681, September.
- Mark J. Holmes & Jesús Otero & Theodore Panagiotidis, 2016. "Climbing the property ladder: An analysis of market integration in London property prices," Working Paper series 16-30, Rimini Centre for Economic Analysis.
- Yi Tang & Xiaoning Wang & Wenyan Wang, 2024. "Securities Quantitative Trading Strategy Based on Deep Learning of Industrial Internet of Things," International Journal of Information Technology and Web Engineering (IJITWE), IGI Global, vol. 19(1), pages 1-16, January.
- Buti, Sabrina & Rindi, Barbara & Werner, Ingrid M., 2010. "Diving into Dark Pools," Working Paper Series 2010-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
- Keen Meng Choy & Hwee Kwan Chow, 2004.
"Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach,"
Econometric Society 2004 Australasian Meetings
223, Econometric Society.
- Hwee Kwan Chow & Keen Meng Choy, 2004. "Forecasting the Global Electronics Cycle with Leading Indicators: A VAR Approach," Working Papers 16-2004, Singapore Management University, School of Economics.
- Francis Ahking, 2003.
"Efficient unit root tests of real exchange rates in the post-Bretton Woods era,"
Economics Bulletin, AccessEcon, vol. 6(7), pages 1-12.
- Francis W. Ahking, 2002. "Efficient Unit Root Tests of real Exchange Rates in the Post-Bretton Woods Era," Working papers 2002-17, University of Connecticut, Department of Economics.
- Helge Berger & Frank Westermann, 2001.
"Factor price equalization? The cointegration approach revisited,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(3), pages 525-536, September.
- Helge Berger & Frank Westermann, 2001. "Factor Price Equalization? The Cointegration Approach Revisited," CESifo Working Paper Series 471, CESifo.
- Pawel Milobedzki, 2010. "The Term Structure of the Polish Interbank Rates. A Note on the Symmetry of their Reversion to the Mean," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 10, pages 81-95.
- Gyula Dörgő & Viktor Sebestyén & János Abonyi, 2018. "Evaluating the Interconnectedness of the Sustainable Development Goals Based on the Causality Analysis of Sustainability Indicators," Sustainability, MDPI, vol. 10(10), pages 1-26, October.
- Rogelio Varela & Lázaro Cruz, 2016. "Inversión extranjera directa y tasa de interés en México: un análisis dinámico," Nóesis. Revista de Ciencias Sociales y Humanidades, Nóesis. Revista de Ciencias Sociales y Humanidades, vol. 25, pages 127-150, 50.
- Neil R. Ericsson & James G. MacKinnon, 2002.
"Distributions of error correction tests for cointegration,"
Econometrics Journal, Royal Economic Society, vol. 5(2), pages 285-318, June.
- Neil R. Ericsson & James G. MacKinnon, 1999. "Distributions of error correction tests for cointegration," International Finance Discussion Papers 655, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
- Yin‐Wong Cheung & XingWang Qian, 2010.
"Capital Flight: China's Experience,"
Review of Development Economics, Wiley Blackwell, vol. 14(2), pages 227-247, May.
- Yin-Wong Cheung & XingWang Qian, 2010. "Capital Flight: China's Experience," Working Papers 062010, Hong Kong Institute for Monetary Research.
- Yin-Wong Cheung & Xingwang Qian, 2010. "Capital Flight: China's Experience," CESifo Working Paper Series 2931, CESifo.
More about this item
Keywords
High-frequency trading; Pairs trading; Deep learning; Feature selection; Price spread prediction;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924007257. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.