zcakhaa
commented
1 year ago hello 谢谢
- 不是时间等分的，就是tick级别的快照
- 出的时候应该就是 H 小于beta2就好了，
From: liwb @.> Sent: Sunday, September 25, 2022 4:34 PM To: zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books @.> Cc: Subscribed @.***> Subject: [zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books] LSE是等事件截面还是等时间的截面 (Issue #23)
牛津大佬，论文很厉害，受教了，有两个问题想请教一下。 1、LSE上的预测的时候，输入的数据是按照时间等分取出来的order_book截面，还是跟fi-2010一样，按照事件等分呢。 2、DBLOB里面，bayeis交易策略，出场那个不是很明白，”We exit the position if H < β2. In next section, we show how these trading parameters affect our profits and risk level.“ 这里是不是要同时满足p(t) < \alpha 呢。
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牛津大佬，论文很厉害，受教了，有两个问题想请教一下。 1、LSE上的预测的时候，输入的数据是按照时间等分取出来的order_book截面，还是跟fi-2010一样，按照事件等分呢。 2、DBLOB里面，bayeis交易策略，出场那个不是很明白，”We exit the position if H < β2. In next section, we show how these trading parameters affect our profits and risk level.“ 这里是不是要同时满足p(t) < \alpha 呢。