The prediction of fluctuation in the order-driven financial market

Risk prediction is one of the important issues that draws much attention from academia and industry. And the fluctuation—absolute value of the change of price, is one of the indexes of risk. In this paper, we focus on the relationship between fluctuation and order volume. Based on the observation th...

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Autores principales:	Fabin Shi, Xiao-Qian Sun, Jinhua Gao, Zidong Wang, Hua-Wei Shen, Xue-Qi Cheng
Formato:	article
Lenguaje:	EN
Publicado:	Public Library of Science (PLoS) 2021
Materias:	Medicine R Science Q
Acceso en línea:	https://doaj.org/article/acc6d8c520534916b66e7ee23cec20e1
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spelling	oai:doaj.org-article:acc6d8c520534916b66e7ee23cec20e12021-11-25T06:19:41ZThe prediction of fluctuation in the order-driven financial market1932-6203https://doaj.org/article/acc6d8c520534916b66e7ee23cec20e12021-01-01T00:00:00Zhttps://www.ncbi.nlm.nih.gov/pmc/articles/PMC8601454/?tool=EBIhttps://doaj.org/toc/1932-6203Risk prediction is one of the important issues that draws much attention from academia and industry. And the fluctuation—absolute value of the change of price, is one of the indexes of risk. In this paper, we focus on the relationship between fluctuation and order volume. Based on the observation that the price would move when the volume of order changes, the prediction of price fluctuation can be converted into the prediction of order volume. Modelling the trader’s behaviours—order placement and order cancellation, we propose an order-based fluctuation prediction model. And our model outperforms better than baseline in OKCoin and BTC-e datasets.Fabin ShiXiao-Qian SunJinhua GaoZidong WangHua-Wei ShenXue-Qi ChengPublic Library of Science (PLoS)articleMedicineRScienceQENPLoS ONE, Vol 16, Iss 11 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Medicine R Science Q
spellingShingle	Medicine R Science Q Fabin Shi Xiao-Qian Sun Jinhua Gao Zidong Wang Hua-Wei Shen Xue-Qi Cheng The prediction of fluctuation in the order-driven financial market
description	Risk prediction is one of the important issues that draws much attention from academia and industry. And the fluctuation—absolute value of the change of price, is one of the indexes of risk. In this paper, we focus on the relationship between fluctuation and order volume. Based on the observation that the price would move when the volume of order changes, the prediction of price fluctuation can be converted into the prediction of order volume. Modelling the trader’s behaviours—order placement and order cancellation, we propose an order-based fluctuation prediction model. And our model outperforms better than baseline in OKCoin and BTC-e datasets.
format	article
author	Fabin Shi Xiao-Qian Sun Jinhua Gao Zidong Wang Hua-Wei Shen Xue-Qi Cheng
author_facet	Fabin Shi Xiao-Qian Sun Jinhua Gao Zidong Wang Hua-Wei Shen Xue-Qi Cheng
author_sort	Fabin Shi
title	The prediction of fluctuation in the order-driven financial market
title_short	The prediction of fluctuation in the order-driven financial market
title_full	The prediction of fluctuation in the order-driven financial market
title_fullStr	The prediction of fluctuation in the order-driven financial market
title_full_unstemmed	The prediction of fluctuation in the order-driven financial market
title_sort	prediction of fluctuation in the order-driven financial market
publisher	Public Library of Science (PLoS)
publishDate	2021
url	https://doaj.org/article/acc6d8c520534916b66e7ee23cec20e1
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The prediction of fluctuation in the order-driven financial market

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