# Feature Engineering for Mid-Price Prediction with Deep Learning

arXiv: https://arxiv.org/abs/1904.05384 · HTML: https://mlsanity.com/paper/1904.05384/

## Key facts

- Cited by 6 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 10 Apr 2019.

## Built on by (most cited first, 6 of 6)

- [Fighting Money Laundering with Statistics and Machine Learning](https://mlsanity.com/paper/2201.04207/) (2022)
- [Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets](https://mlsanity.com/paper/2203.03613/) (2022)
- [Low-Rank Temporal Attention-Augmented Bilinear Network for financial time-series forecasting](https://mlsanity.com/paper/2107.06995/) (2021)
- [Optimum Output Long Short-Term Memory Cell for High-Frequency Trading Forecasting](https://mlsanity.com/paper/2304.09840/) (2023)
- [Novel Modelling Strategies for High-frequency Stock Trading Data](https://mlsanity.com/paper/2212.00148/) (2022)
- [Market Making with Deep Reinforcement Learning from Limit Order Books](https://mlsanity.com/paper/2305.15821/) (2023)

## Abstract (arXiv)

Mid-price movement prediction based on limit order book (LOB) data is a challenging task due to the complexity and dynamics of the LOB. So far, there have been very limited attempts for extracting relevant features based on LOB data. In this paper, we address this problem by designing a new set of handcrafted features and performing an extensive experimental evaluation on both liquid and illiquid stocks. More specifically, we implement a new set of econometrical features that capture statistical properties of the underlying securities for the task of mid-price prediction. Moreover, we develop a new experimental protocol for online learning that treats the task as a multi-objective optimization problem and predicts i) the direction of the next price movement and ii) the number of order book events that occur until the change takes place. In order to predict the mid-price movement, the features are fed into nine different deep learning models based on multi-layer perceptrons (MLP), convolutional neural networks (CNN) and long short-term memory (LSTM) neural networks. The performance of the proposed method is then evaluated on liquid and illiquid stocks, which are based on TotalView-ITCH US and Nordic stocks, respectively. For some stocks, results suggest that the correct choice of a feature set and a model can lead to the successful prediction of how long it takes to have a stock price movement.