Order_Flow_Imbalance_data

This repository contains the data and code for the research project titled "Hybrid VAR-FNN Model for Order Flow Imbalance Prediction in High-Frequency Trading." The study explores a hybrid approach that combines Vector Auto Regression (VAR) and Feedforward Neural Networks (FNN) to predict Order Flow Imbalance (OFI) in high-frequency trading data. The hybrid model improves predictive accuracy by leveraging both linear and non-linear patterns in the data.

本存储库包含名为“高频交易中订单流失衡预测的混合VAR-FNN模型”的研究项目所使用的数据和代码。该研究探讨了将向量自回归（Vector Auto Regression，VAR）和前馈神经网络（Feedforward Neural Networks，FNN）相结合的混合方法，以预测高频交易数据中的订单流失衡（Order Flow Imbalance，OFI）。该混合模型通过利用数据中的线性及非线性模式，显著提升了预测精度。