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UoB-DSMP-2023-24 / dsmp-2024-group15

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Creating an Arima Model #2

Open theo-rog opened 4 months ago

theo-rog commented 4 months ago

We need to create an ARIMA model on the LOB data. We may choose to model a forecast on max bid, min ask.

theo-rog commented 4 months ago

@hjc0001 @Ray-99999 @theo-rog to research and get ready to implement an ARIMA model. Aim to be familiar with hyper parameter selection and maybe SARIMA to capture seasonality.

theo-rog commented 2 months ago

@hjc0001 continuing to work on ARIMA model. @theo-rog ready to support to implement research done on SARIMAX.