Modeling high-frequency limit order book dynamics with support vector machines,
A. N. Kercheval, Yuan Zhang
We propose a machine learning framework to capture the dynamics of high- frequency limit order books in financial equity markets and automate real-time prediction of metrics such as mid-price movement and price spread crossing. By characterizing each entry in a limit order book with a vector of attributes such as price and volume at different levels, the proposed framework builds a learning model for each metric with the help of multi-class support vector machines (SVMs). Experiments with real data establish that features selected by the proposed framework are effective for short term price movement forecasts.