{"id":23725,"date":"2020-10-11T12:02:27","date_gmt":"2020-10-11T09:02:27","guid":{"rendered":"https:\/\/hgpu.org\/?p=23725"},"modified":"2020-10-11T12:02:27","modified_gmt":"2020-10-11T09:02:27","slug":"deep-learning-for-digital-asset-limit-order-books","status":"publish","type":"post","link":"https:\/\/hgpu.org\/?p=23725","title":{"rendered":"Deep Learning for Digital Asset Limit Order Books"},"content":{"rendered":"<p>This paper shows that temporal CNNs accurately predict bitcoin spot price movements from limit order book data. On a 2 second prediction time horizon we achieve 71% walk-forward accuracy on the popular cryptocurrency exchange coinbase. Our model can be trained in less than a day on commodity GPUs which could be installed into colocation centers allowing for model sync with existing faster orderbook prediction models. We provide source code and data.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>This paper shows that temporal CNNs accurately predict bitcoin spot price movements from limit order book data. On a 2 second prediction time horizon we achieve 71% walk-forward accuracy on the popular cryptocurrency exchange coinbase. Our model can be trained in less than a day on commodity GPUs which could be installed into colocation centers [&hellip;]<\/p>\n","protected":false},"author":351,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_jetpack_memberships_contains_paid_content":false,"footnotes":"","jetpack_publicize_message":"","jetpack_publicize_feature_enabled":true,"jetpack_social_post_already_shared":true,"jetpack_social_options":{"image_generator_settings":{"template":"highway","default_image_id":0,"font":"","enabled":false},"version":2}},"categories":[576,3],"tags":[1673,1804,176,513],"class_list":["post-23725","post","type-post","status-publish","format-standard","hentry","category-finance","category-paper","tag-deep-learning","tag-finance","tag-package","tag-python"],"views":3310,"jetpack_publicize_connections":[],"jetpack_featured_media_url":"","jetpack_sharing_enabled":true,"_links":{"self":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/23725","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/users\/351"}],"replies":[{"embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcomments&post=23725"}],"version-history":[{"count":0,"href":"https:\/\/hgpu.org\/index.php?rest_route=\/wp\/v2\/posts\/23725\/revisions"}],"wp:attachment":[{"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fmedia&parent=23725"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Fcategories&post=23725"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hgpu.org\/index.php?rest_route=%2Fwp%2Fv2%2Ftags&post=23725"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}