Predicting short-term stock movements using limit order book dynamics and support vector machines in the stock exchange of Thailand | |
| Author | Manandhar, Sujal |
| Call Number | AIT Thesis no.CS-15-01 |
| Subject(s) | Stock exchanges--Thailand Kernel functions |
| Note | A thesis submitted in partial fulfillment of the requirements for the degree of Master of Engineering in Computer Science, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Thesis; no. CS-15-01 |
| Abstract | Today, market information is readily available to the people and their trading behaviour is significantly affected by the current market conditions. Incorporating the market conditions into the forecasting model will improve the predictive performance and one way to achieve this is by modeling the limit order book dynamics. The aims of this research were to develop a predictive model that using the limit order book dynamics, predicts the direction of the stock movement and to determine the features that significantly affect the predictive perfor- mance of the model. We developed models based on a novel application of support vector machines (SVMs). The historical limit order book data of Stock Exchange of Thailand (SET) is mined to obtain informative value which is used by the model for the forecasting purpose. Different feature sets were used. Results showed that the data in the lower part of the order book, mostly volumes exhibit predictive information. The overall evaluation parameter of the models are high. However, it was found that this is mainly from the contribution of the stationary market cases. So even though the model can be used for our intended purpose, it is suggested at the end, considering the precision of results, that the model be used to determine the state of the market i.e. whether it remains stationary or it moves but not the direction of the movement. |
| Year | 2015 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis : no. CS-15-01 |
| Type | Thesis |
| School | School of Engineering and Technology (SET) |
| Department | Department of Information and Communications Technologies (DICT) |
| Academic Program/FoS | Computer Science (CS) |
| Chairperson(s) | Guha, Sumanta; |
| Examination Committee(s) | Vatcharaporn Esichaikul;Chaiyakorn Yingsaeree; |
| Scholarship Donor(s) | Asian Institute of Technology Fellowship; |
| Degree | Thesis (M. Eng.) - Asian Institute of Technology, 2015 |