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zcakhaa / DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books

This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.
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another question regarding alpha paramtres for dataset labeling #8

Open shadow111 opened 3 years ago

shadow111 commented 3 years ago

Why not using a window to calculate the average price in order to label the dataset ?

zcakhaa commented 3 years ago

The calculation of label is defined in page 13 (Equation 8): https://arxiv.org/pdf/1705.03233.pdf It uses a window to calculate labels.

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Why not using a window to calculate the average price in order to label the dataset ?

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