LSTM forecasting foreign exchange rates using limit order book

Katsuki Ito, Hitoshi Iima, Yoshihiro Kitamura*

*この研究の対応する著者

研究成果: Article査読

抄録

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.

本文言語English
論文番号102517
ジャーナルFinance Research Letters
DOI
出版ステータスAccepted/In press - 2021

ASJC Scopus subject areas

  • 財務

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