Patent ID: 11915316
Assignee: REBELLIONS INC.
Field: IT methods for management (Electrical engineering)
Classification: CPC G | IPC G

Claim 9:
10. A system for converting order book data into 2D data for a machine learning model, comprising:
a memory storing one or more instructions; and
one or more processors configured to execute one or more instructions in the memory to:
acquire 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;
calculate 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;
convert the order book data into data in tensor form having a first axis of times at certain time intervals and a second axis of prices in units of tick, wherein the data in tensor form includes one or more 2D data items having data for a quantity for each of the plurality of ask prices or data for a quantity for each of the plurality of bid prices as values for each of a plurality of coordinates defined according to the times on the first axis and the prices on the second axis, wherein
the second axis of prices in units of tick includes the calculated mid price;
input the data in tensor form to the machine learning model; and
predict, using the machine learning model, information on a price of the stock at a time point in a future based on the data in tensor form, wherein the machine learning model includes a plurality of successive layers and wherein each of the successive layers configured to reduce the size of a feature map corresponding to an output of a previous layer.