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README.md

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:

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

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

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