Order_Flow_Imbalance_data

Published: 18 November 2024| Version 1 | DOI: 10.17632/t85zkk98rp.1
Contributor:
Ab rahman

Description

This repository contains the data and code for the research project titled "Hybrid VAR-FNN Model for Order Flow Imbalance Prediction in High-Frequency Trading." The study explores a hybrid approach that combines Vector Auto Regression (VAR) and Feedforward Neural Networks (FNN) to predict Order Flow Imbalance (OFI) in high-frequency trading data. The hybrid model improves predictive accuracy by leveraging both linear and non-linear patterns in the data.

Files

Institutions

Indian Institute of Technology Madras

Categories

Mathematical Finance, Computational Finance

Related Links

Software
https://github.com/Shafiq-Abdu/OFI_Main.git
is related to this dataset

Licence