LSTM forecasting foreign exchange rates using limit order book

Katsuki Ito, Hitoshi Iima, Yoshihiro Kitamura*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

Abstract

We use long and short term memory (LSTM) to predict intraday returns in foreign exchange markets. As predictors, we use events in the limit order book. Compared to other models, our model predicts the movement of a 1-min midquote return. When we consider the bid-ask spread, this prediction does not bring economic gains. This result indicates that these events can contribute to price discovery and the studied markets efficiently set the spread.

Original languageEnglish
Article number102517
JournalFinance Research Letters
Volume47
DOIs
Publication statusPublished - 2022 Jun

Keywords

  • LSTM
  • foreign exchange rate
  • limit order

ASJC Scopus subject areas

  • Finance

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