Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures.
Artur SokolovskyLuca ArnaboldiPublished in: CoRR (2020)
Keyphrases
- machine learning
- feature vectors
- feature extraction
- classification accuracy
- machine learning approaches
- feature construction
- feature set
- pattern recognition
- feature space
- benchmark datasets
- feature selection
- machine learning algorithms
- classification models
- machine learning models
- machine learning methods
- classification method
- supervised machine learning
- svm classifier
- feature generation
- support vector machine
- text classification
- extracted features
- classification process
- feature values
- high dimensionality
- supervised classification
- support vector machine svm
- extracting features
- unsupervised learning
- model selection
- decision trees
- multiscale
- feature analysis
- supervised learning
- feature ranking
- learning algorithm
- test bed
- feature selection algorithms
- training set
- case study
- stock market
- data mining
- unit commitment
- feature representation
- feature subset
- class labels
- image classification
- image features