Tensor representation in high-frequency financial data for price change prediction

Dat Thanh Tran, Martin Magris, Juho Kanniainen, Moncef Gabbouj, Alexandros Iosifidis

    Research output: Chapter in Book/Report/Conference proceedingConference contributionScientificpeer-review

    13 Citations (Scopus)


    Nowadays, with the availability of massive amount of trade data collected, the dynamics of the financial markets pose both a challenge and an opportunity for high frequency traders. In order to take advantage of the rapid, subtle movement of assets in High Frequency Trading (HFT), an automatic algorithm to analyze and detect patterns of price change based on transaction records must be available. The multichannel, time-series representation of financial data naturally suggests tensor-based learning algorithms. In this work, we investigate the effectiveness of two multilinear methods for the mid-price prediction problem against other existing methods. The experiments in a large scale dataset which contains more than 4 millions limit orders show that by utilizing tensor representation, multilinear models outperform vector-based approaches and other competing ones.
    Original languageEnglish
    Title of host publicationIEEE Symposium Series on Computational Intelligence (SSCI), 2017
    Subtitle of host publicationNov. 27-Dec. 1, 2017, Hawaii, USA
    Number of pages7
    ISBN (Electronic)978-1-5386-2726-6
    Publication statusPublished - 2017
    Publication typeA4 Article in conference proceedings
    EventIEEE Symposium Series on Computational Intelligence -
    Duration: 1 Jan 1900 → …


    ConferenceIEEE Symposium Series on Computational Intelligence
    Abbreviated titleIEEE SSCI
    Period1/01/00 → …

    Publication forum classification

    • Publication forum level 1


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