- 著者
- Hayato Kijima Hideyuki Takada Takayuki Tomiya
- 出版者
- システム制御情報学会ストカスティックシステムシンポジウム
- 雑誌
- Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications (ISSN:21884730)
- 巻号頁・発行日
- vol.2016, pp.181-188, 2016-05-13 (Released:2016-10-31)
- 参考文献数
- 10
We propose a stochastic filtering model for Limit Order Book (LOB) where the signal process obeys the stochastic differential equation (SDE) whose trend function depend on the history of the LOB in such a way as to reflect the predicted direction of the mid price movement via the Support Vector Machine (SVM). Stochastic dynamics of the LOB is modeled with a queuing system where incoming orders and cancellations of existing orders arrive according to conditionally independent Poisson processes. Finally, numerical example with Nikkei 225 futures are presented.