Miyazaki, Bungo; Izumi, Kiyoshi; Toriumi, Fujio; … - In: Intelligent Systems in Accounting, Finance and Management 21 (2014) 3, pp. 169-191
SUMMARY We propose a method for detecting changes in the order balance in stock markets by applying a stochastic model to the feature vectors extracted from the order‐book data of stocks. First, the data are divided into training and test periods. Next, a Gaussian mixture model is estimated...