Method and system for converting order book data into 2D data for machine learning models
US11915316B2 · kind B2 · utility
Assignee
Inventor
Key dates
| Filing date | Nov 10, 2022 |
| Grant date | Feb 27, 2024 |
| Priority date | — |
| Expiry date | Nov 10, 2042 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Provided is a method for converting order book data into 2D data for a machine learning model, which is performed by one or more processors, in which the method includes acquiring order book data including data items for a plurality of bid prices and data items for a plurality of ask prices for a stock traded in a first stock exchange according to time from a time point in the past that is a predetermined period of time earlier, to a current time point, calculating a mid price based on a highest bid price of the plurality of bid prices and a lowest ask price of the plurality of ask prices, and generating data in tensor form having a first axis of times at certain time intervals and a second axis of prices in units of tick.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.