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Quantitative Finance Volume 19, 2019 - Issue 9: Machine Learning and AI
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Special Issue Papers

Encoding of high-frequency order information and prediction of short-term stock price by deep learning

Daigo TashiroGraduate School of Engineering, The University of Tokyo, Tokyo, Japan
,
Hiroyasu MatsushimaGraduate School of Engineering, The University of Tokyo, Tokyo, JapanCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-7301-1956
ORCID Icon,
Kiyoshi IzumiGraduate School of Engineering, The University of Tokyo, Tokyo, Japan
&
Hiroki SakajiGraduate School of Engineering, The University of Tokyo, Tokyo, Japan
Pages 1499-1506 | Received 02 Jul 2018, Accepted 06 May 2019, Published online: 09 Jul 2019

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Rama Cont, Mihai Cucuringu & Chao Zhang. (2023) Cross-impact of order flow imbalance in equity markets. Quantitative Finance 23:10, pages 1373-1393.
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Peng Huang & Jianwen Luo. Stock price prediction for a trading strategy: embedding trading strategy into deep learning framework. Applied Economics 0:0, pages 1-15.
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Hongli Niu, Qiaoying Pan & Kunliang Xu. (2023) Hybrid deep learning models with multi-classification investor sentiment to forecast the prices of China’s leading stocks. PLOS ONE 18:11, pages e0294460.
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Wuyi Ye, Jinting Yang & Pengzhan Chen. (2023) Short-term stock price trend prediction with imaging high frequency limit order book data. International Journal of Forecasting.
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Yanhong Guo & Xinxin Chen. (2022) Forecasting the Mid-price Movements with High-Frequency LOB: A Dual-Stage Temporal Attention-Based Deep Learning Architecture. Arabian Journal for Science and Engineering 48:8, pages 9597-9618.
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Duc Khuong Nguyen, Georgios Sermpinis & Charalampos Stasinakis. (2022) Big data, artificial intelligence and machine learning: A transformative symbiosis in favour of financial technology. European Financial Management 29:2, pages 517-548.
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Masanori Hirano, Hiroki Sakaji & Kiyoshi Izumi. (2022) Concept and Practice of Artificial Market Data Mining Platform. Concept and Practice of Artificial Market Data Mining Platform.
Masanori Hirano, Kiyoshi Izumi & Hiroki Sakaji. (2021) STBM+: Advanced Stochastic Trading Behavior Model for Financial Markets using Residual Blocks or Transformers. New Generation Computing 40:1, pages 7-24.
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Dawei Cheng, Fangzhou Yang, Sheng Xiang & Jin Liu. (2022) Financial time series forecasting with multi-modality graph neural network. Pattern Recognition 121, pages 108218.
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Bin Teng, Sicong Wang, Qinghua Ren, Qi Hao & Yufeng Shi. (2021) The cross-interval price impact model and its empirical analysis on cryptocurrency order book. Personal and Ubiquitous Computing.
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Haijun Yang & Feng Xue. (2021) Analysis of stock market volatility: Adjusted VPIN with high-frequency data. International Review of Economics & Finance 75, pages 210-222.
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Nan Jing, Zhao Wu & Hefei Wang. (2021) A hybrid model integrating deep learning with investor sentiment analysis for stock price prediction. Expert Systems with Applications 178, pages 115019.
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Masanori Hirano, Hiroyasu Matsushima, Kiyoshi Izumi & Hiroki Sakaji. 2021. Advances in Artificial Intelligence. Advances in Artificial Intelligence 157 165 .
Masanori Hirano, Hiroyasu Matsushima, Kiyoshi Izumi & Hiroki Sakaji. 2021. PRIMA 2020: Principles and Practice of Multi-Agent Systems. PRIMA 2020: Principles and Practice of Multi-Agent Systems 3 18 .
Iwao Maeda, David deGraw, Michiharu Kitano, Hiroyasu Matsushima, Kiyoshi Izumi, Hiroki Sakaji & Atsuo Kato. (2020) Latent Segmentation of Stock Trading Strategies Using Multi-Modal Imitation Learning. Journal of Risk and Financial Management 13:11, pages 250.
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Saeed Nosratabadi, Amirhosein Mosavi, Puhong Duan, Pedram Ghamisi, Ferdinand Filip, Shahab Band, Uwe Reuter, Joao Gama & Amir Gandomi. (2020) Data Science in Economics: Comprehensive Review of Advanced Machine Learning and Deep Learning Methods. Mathematics 8:10, pages 1799.
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Dingming Wu, Xiaolong Wang, Jingyong Su, Buzhou Tang & Shaocong Wu. (2020) A Labeling Method for Financial Time Series Prediction Based on Trends. Entropy 22:10, pages 1162.
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Haiying Zhang, Qiaomei Liang, Siheng Li, Rongqi Wang & Qingqiang Wu. (2020) Research on Stock Prediction Model Based on Deep Learning. Journal of Physics: Conference Series 1549:2, pages 022124.
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Iwao Maeda, David deGraw, Michiharu Kitano, Hiroyasu Matsushima, Hiroki Sakaji, Kiyoshi Izumi & Atsuo Kato. (2020) Deep Reinforcement Learning in Agent Based Financial Market Simulation. Journal of Risk and Financial Management 13:4, pages 71.
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Rama Cont, Mihai Cucuringu & Chao Zhang. (2021) Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. SSRN Electronic Journal.
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