A Machine Learning Method for High-Frequency Data Forecasting

Lopez, Erick; Allende, Hector; Allende-Cid, Hector; BayroCorrochano, E; Hancock, E

Abstract

In recent years several models for financial high-frequency data have been proposed. One of the most known models for this type of applications is the ACM-ACD model. This model focuses on modelling the underlying joint distribution of both duration and price changes between consecutive transactions. However this model imposes distributional assumptions and its number of parameters increases rapidly (producing a complex and slow adjustment process). Therefore, we propose using two machine learning models, that will work sequentially, based on the ACM-ACD model. The results show a comparable performance, achieving a better performance in some cases. Also the proposal achieves a significatively more rapid convergence. The proposal is validated with a well-known financial data set.

Más información

Título según WOS: A Machine Learning Method for High-Frequency Data Forecasting
Título de la Revista: Lecture Notes in Computer Science (LNCS)
Volumen: 8827
Editorial: Springer
Fecha de publicación: 2014
Página de inicio: 621
Página final: 628
Notas: ISI