Order prediction accuracy for artificial stock order data. Predicted order probabilities are validated with precision at k = 1, 5, 10, and AUROC.

Order prediction accuracy for artificial stock order data. Predicted order probabilities are validated with precision at k = 1, 5, 10, and AUROC.

Source publication
Article
Full-text available
While exchanges and regulators are able to observe and analyze the individual behavior of financial market participants through access to labeled data, this information is not accessible by other market participants nor by the general public. A key question, then, is whether it is possible to model individual market participants’ behaviors through...

Contexts in source publication

Context 1
... results of modeling are shown in Table 1. For all indicators of order prediction accuracy, the proposed LSIL2 outperformed all other methods. ...
Context 2
... addition, since the expected rewards of LSIL1 and LSIL2 were both positive at 0.1127 and 0.0721, we believe LSIL1 and LSIL2 were able to predict segment probabilities appropriately. Appropriate prediction of segment probabilities also contributed to the improvement of prediction accuracy as shown in Table 1. ...

Similar publications

Article
Full-text available
We revisit the flight-to-quality (FTQ) and flight-from-quality (FFQ) occurrences vis-à-vis the stock-bond nexus across differing investment time scales in the COVID-19 era, using a novel technique hinged on a denoised frequency-domain transfer entropy. Our findings divulge that flights, both FTQ and FFQ, could be attained during stress periods. Gen...
Preprint
Full-text available
The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign exchange market in the 20th century, foreign exchange rate forecasting has become a hot issue studied by scholars fr...
Article
Full-text available
This paper manages to construct an efficient portfolio that has a better return than the market index. This portfolio is unique because its five assets have been carefully picked from different industries to diversify risk, which is rarely seen in other research. First, this article uses Monte Carlo simulation to generate a possible portfolio and c...
Article
Full-text available
In financial markets, information constitutes a crucial factor contributing to the evolution of the system, while the presence of heterogeneous investors ensures its flow among financial products. When nonlinear trading strategies prevail, the diffusion mechanism reacts accordingly. Under these conditions, information englobes behavioral traces of...