대학원 세미나 안내 ( 3/22(금), 발표자: 주건환 박사과정, Risk lab)
3월 22 일(금)에 대학원 세미나가 열릴 예정입니다.
<Speaker: 주건환 박사과정, Risk lab 소속>
Date & Time: 3월 22 일(금), 3:00pm~
Title: Learning Multi-market Microstructure from Order Book Data
We investigate market behaviors at high frequency using neural networks trained with order book data. Experiments are done intensively with 110 asset pairs covering 97% of spot-futures pairs in the Korea Exchange. An efficient training scheme that improves the performance and training stability is suggested, and using the proposed scheme, the lead-lag relationship between spot and futures markets are measured by comparing the performance gains of each market data for predicting the other. In addition, the gradients of the trained model are analyzed to understand some important market features that neural networks learn through training, revealing characteristics of the market microstructure. Our results show that highly complex neural network models can successfully learn market features such as order imbalance, spread-volatility correlation, and mean reversion.
Place : 2501, 멀티미디어실
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