Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods

Adamantios Ntakaris, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis

    Research output: Contribution to journalArticleScientificpeer-review

    22 Citations (Scopus)
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    Abstract

    Managing the prediction of metrics in high‐frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly available benchmark dataset of high‐frequency limit order markets for mid‐price prediction. We extracted normalized data representations of time series data for five stocks from the Nasdaq Nordic stock market for a time period of 10 consecutive days, leading to a dataset of ∼4,000,000 time series samples in total. A day‐based anchored cross‐validation experimental protocol is also provided that can be used as a benchmark for comparing the performance of state‐of‐the‐art methodologies. Performance of baseline approaches are also provided to facilitate experimental comparisons. We expect that such a large‐scale dataset can serve as a testbed for devising novel solutions of expert systems for high‐frequency limit order book data analysis.
    Original languageEnglish
    Pages (from-to)852-866
    Number of pages15
    JournalJOURNAL OF FORECASTING
    Volume37
    Issue number8
    Early online date22 Aug 2018
    DOIs
    Publication statusPublished - Dec 2018
    Publication typeA1 Journal article-refereed

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