MétaCan
Menu
Back to cohort
Record W2071185898 · doi:10.1016/j.procs.2014.05.189

Distance-based High-frequency Trading

2014· article· en· W2071185898 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueProcedia Computer Science · 2014
Typearticle
Languageen
FieldDecision Sciences
TopicStock Market Forecasting Methods
Canadian institutionsWestern University
Fundersnot available
KeywordsComputer scienceHigh-frequency tradingAlgorithmic tradingFinance

Abstract

fetched live from OpenAlex

The present paper approaches high-frequency trading from a computational science perspective, presenting a pattern recognition model to predict price changes of stock market assets. The technique is based on the feature-weighted Euclidean distance to the centroid of a training cluster. A set of micro technical indicators, traditionally employed by professional scalpers, is used in this setting. We describe procedures for removal of outliers, normalization of feature points, computation of weights of features, and classification of test points. The complexity of computation at each quote received is proportional to the number of features. In addition, processing of indicators is parallelizable and, therefore, suitable in high-frequency domains. Experiments are presented for different prediction time intervals and confidence thresholds. Predictions made 10 to 2000 milliseconds before a price change resulted in an accuracy that ranged monotonically from 97% to 75%. Finally, we observed an empirical relation between Euclidean distance in the feature space and prediction accuracy.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.015
metaresearch head score (Gemma)0.011
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMetaresearch
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Other design · Consensus signal: none
GenreCandidate signal: Methods · Consensus signal: none
Teacher disagreement score0.928
Threshold uncertainty score0.997

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0150.011
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0000.000
Bibliometrics0.0010.004
Science and technology studies0.0010.001
Scholarly communication0.0010.001
Open science0.0030.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0000.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.075
GPT teacher head0.356
Teacher spread0.281 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it