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What is LGBM-Based Closeout Model for HFT about?

This research presents a closeout model for high-frequency trading (HFT) using the LightGBM algorithm to predict bid/ask prices based on order book data. The model aims to optimize liquidation strategies by minimizing transaction costs and execution time, outperforming traditional methods in order success rates and trading speed. A custom market simulator was developed for model evaluation, ensuring accurate assessment of trading outcomes in a simulated environment.

Author

suwukun

Language

EN