Modeling high-frequency limit order book dynamics with support vector machines

Based on paper Modeling high-frequency limit order book dynamics with support vector machines

Source code for blog post:

• Stock Price Prediction With Big Data and Machine Learning

Testing

By default tests are running with Spark in local mode

sbt test

Building

In the root directory run:

sbt assembly

The application fat jars will be placed in:

• target/scala-2.10/order-book-dynamics.jar

Running

First you need to run assembly in sbt and then run java cmd

java -Dspark.master=spark://spark-host:7777 order-book-dynamics.jar