Skip to content

Commit

Permalink
Fix 🇺🇸 dialect (#421)
Browse files Browse the repository at this point in the history
  • Loading branch information
@KarelZe
KarelZe authored Jul 3, 2023
1 parent 32cf8a9 commit 08394b4
Show file tree
Hide file tree
Showing 14 changed files with 260 additions and 268 deletions.
54 changes: 27 additions & 27 deletions reports/Content/Appendix.tex
View file
Original file line number Diff line number Diff line change
Expand Up @@ -15,7 +15,7 @@ \section{Appendix}
Research & Data & Sample Period & Method & Baseline & Improvement \\ \midrule
\autocite[][15]{rosenthalModelingTradeDirection2012} & \gls{NASDAQ} & & Logistic regression & \gls{EMO} rule, \gls{LR} rule,\newline and tick rule & max. \SI{2.2}{\percent} \\ \cmidrule{2-6}
& \gls{NYSE} & 03/12/2004 -- 31/12/2004 & Logistic regression & \gls{EMO} rule, \gls{LR} rule,\newline and tick rule & max. \SI{1.1}{\percent} \\\cmidrule{1-6}
\autocite[][489--494]{blazejewskiLocalNonParametricModel2005} & Australian Stock\newline Exchange & 11/11/2002 -- 27/08/2003 & $k$ nearest neighbour, \newline logistic regression,\newline trade continuation,\newline majority vote & - & - \\ \cmidrule{1-6}
\autocite[][489--494]{blazejewskiLocalNonParametricModel2005} & Australian Stock\newline Exchange & 11/11/2002 -- 27/08/2003 & $k$ nearest neighbor, \newline logistic regression,\newline trade continuation,\newline majority vote & - & - \\ \cmidrule{1-6}
\autocite[][49--57]{ronenMachineLearningTrade2022} & \gls{TRACE} & 01/07/2002 -- 31/12/2019 & Logistic regression, decision tree,\newline neural network, and random forests & \gls{LR} rule and tick rule,\newline and \gls{BVC} algorithm & max. \SI{13.3}{\percent} \\ \cmidrule{2-6}
& \gls{NASDAQ} & 09/12/2013 -- 13/12/2013 & Logistic regression, decision tree,\newline neural network, and random forests & \gls{LR} rule, tick rule,\newline and \gls{BVC} algorithm & max. \SI{3.3}{\percent} \\ \bottomrule
\end{tabular}
Expand Down Expand Up @@ -65,32 +65,32 @@ \subsection{Features and Transformations}
\begin{tabular}{@{}ll@{}}
\toprule
Feature Name & Transform \\ \midrule
trade price & $\log$ + standardised \\
price lag (ex) & $\log$ + standardised \\
price lag (all) & $\log$ + standardised \\
price change lag (ex) & clipped + standardised \\
price change lag (all) & clipped + standardised \\
price lead (ex) & $\log$ + standardised \\
price lead (all) & $\log$ + standardised \\
price change lead (ex) & clipped + standardised \\
price change lead (all) & clipped + standardised \\
bid (all) & $\log$ + standardised \\
bid (ex) & $\log$ + standardised \\
ask (all) & $\log$ + standardised \\
ask (ex) & $\log$ + standardised \\
prox. to quotes (ex) & clipped + standardised \\
prox. to quotes (all) & clipped + standardised \\
bid ask size ratio (ex) & clipped + standardised \\
bid size (ex) & $\log$ + standardised \\
ask size (ex) & $\log$ + standardised \\
rel. bid size (ex) & clipped + standardised \\
rel. ask size (ex) & clipped + standardised \\
trade size & $\log$ + standardised \\
strike price & $\log$ + standardised \\
volume option series & $\log$ + standardised \\
trade price & $\log$ + standardized \\
price lag (ex) & $\log$ + standardized \\
price lag (all) & $\log$ + standardized \\
price change lag (ex) & clipped + standardized \\
price change lag (all) & clipped + standardized \\
price lead (ex) & $\log$ + standardized \\
price lead (all) & $\log$ + standardized \\
price change lead (ex) & clipped + standardized \\
price change lead (all) & clipped + standardized \\
bid (all) & $\log$ + standardized \\
bid (ex) & $\log$ + standardized \\
ask (all) & $\log$ + standardized \\
ask (ex) & $\log$ + standardized \\
prox. to quotes (ex) & clipped + standardized \\
prox. to quotes (all) & clipped + standardized \\
bid ask size ratio (ex) & clipped + standardized \\
bid size (ex) & $\log$ + standardized \\
ask size (ex) & $\log$ + standardized \\
rel. bid size (ex) & clipped + standardized \\
rel. ask size (ex) & clipped + standardized \\
trade size & $\log$ + standardized \\
strike price & $\log$ + standardized \\
volume option series & $\log$ + standardized \\
root & binarised \\
time to maturity & standardised \\
moneyness & standardised \\
time to maturity & standardized \\
moneyness & standardized \\
option type & binarised \\
issue type & binarised \\ \bottomrule
\end{tabular}
Expand Down Expand Up @@ -168,6 +168,6 @@ \subsection{Attention Heads of Transformer}
% \subfloat[Head (2,8)]{\label{sfig:hb}\includegraphics[width=.23\textwidth]{attention_head_8_layer_2_color_green_ise_quotes_mid.pdf}}\hfill
% \subfloat[Head (3,8)]{\label{sfig:hc}\includegraphics[width=.23\textwidth]{attention_head_8_layer_3_color_green_ise_quotes_mid.pdf}}\hfill
% \subfloat[Head (4,8)]{\label{sfig:hd}\includegraphics[width=.23\textwidth]{attention_head_8_layer_4_color_green_ise_quotes_mid.pdf}}\\
\caption[Rule-Like Roles of All Attention Heads]{Attention heads that correspond to trade classification rules. Tuple denotes the location of the attention head in the model in the form of (layer, head). Plot visualises the attention weights for a trade executed at the quote, correctly classified by the model.}
\caption[Rule-Like Roles of All Attention Heads]{Attention heads that correspond to trade classification rules. Tuple denotes the location of the attention head in the model in the form of (layer, head). Plot visualizes the attention weights for a trade executed at the quote, correctly classified by the model.}
\label{fig:attention-heads-ise-all-transformer}
\end{figure}
Loading

0 comments on commit 08394b4

Please sign in to comment.