Predicting Market Impact Costs Using Nonparametric Machine Learning Models
نویسندگان
چکیده
منابع مشابه
Predicting Market Impact Costs Using Nonparametric Machine Learning Models
Market impact cost is the most significant portion of implicit transaction costs that can reduce the overall transaction cost, although it cannot be measured directly. In this paper, we employed the state-of-the-art nonparametric machine learning models: neural networks, Bayesian neural network, Gaussian process, and support vector regression, to predict market impact cost accurately and to pro...
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ژورنال
عنوان ژورنال: PLOS ONE
سال: 2016
ISSN: 1932-6203
DOI: 10.1371/journal.pone.0150243