# Axial-LOB: High-Frequency Trading with Axial Attention

arXiv: https://arxiv.org/abs/2212.01807 · HTML: https://mlsanity.com/paper/2212.01807/

## Key facts

- Cited by 4 papers in the map (data through 14 Oct 2026).
- Builds on 14 of its 22 references that are in the map.
- First posted on arXiv 4 Dec 2022.

## Builds on (most cited first, 14 of 14)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [SGDR: Stochastic Gradient Descent with Warm Restarts](https://mlsanity.com/paper/1608.03983/) (2016)
- [Stand-Alone Self-Attention in Vision Models](https://mlsanity.com/paper/1906.05909/) (2019)
- [Axial Attention in Multidimensional Transformers](https://mlsanity.com/paper/1912.12180/) (2019)
- [Axial-DeepLab: Stand-Alone Axial-Attention for Panoptic Segmentation](https://mlsanity.com/paper/2003.07853/) (2020)
- [Medical Transformer: Gated Axial-Attention for Medical Image Segmentation](https://mlsanity.com/paper/2102.10662/) (2021)
- [Local Relation Networks for Image Recognition](https://mlsanity.com/paper/1904.11491/) (2019)
- [Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods](https://mlsanity.com/paper/1705.03233/) (2017)
- [Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis](https://mlsanity.com/paper/1712.00975/) (2017)
- [Using Deep Learning for price prediction by exploiting stationary limit order book features](https://mlsanity.com/paper/1810.09965/) (2018)
- [Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units](https://mlsanity.com/paper/2105.10430/) (2021)
- [Multi-head Temporal Attention-Augmented Bilinear Network for Financial time series prediction](https://mlsanity.com/paper/2201.05459/) (2022)
- [Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets](https://mlsanity.com/paper/2203.03613/) (2022)
- [A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection](https://mlsanity.com/paper/2111.05935/) (2021)

## Built on by (most cited first, 4 of 4)

- [LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study](https://mlsanity.com/paper/2308.01915/) (2023)
- [HLOB -- Information Persistence and Structure in Limit Order Books](https://mlsanity.com/paper/2405.18938/) (2024)
- [TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data](https://mlsanity.com/paper/2502.15757/) (2025)
- [Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer](https://mlsanity.com/paper/2506.05764/) (2025)

## Abstract (arXiv)

Previous attempts to predict stock price from limit order book (LOB) data are mostly based on deep convolutional neural networks. Although convolutions offer efficiency by restricting their operations to local interactions, it is at the cost of potentially missing out on the detection of long-range dependencies. Recent studies address this problem by employing additional recurrent or attention layers that increase computational complexity. In this work, we propose Axial-LOB, a novel fully-attentional deep learning architecture for predicting price movements of stocks from LOB data. By utilizing gated position-sensitive axial attention layers our architecture is able to construct feature maps that incorporate global interactions, while significantly reducing the size of the parameter space. Unlike previous works, Axial-LOB does not rely on hand-crafted convolutional kernels and hence has stable performance under input permutations and the capacity to incorporate additional LOB features. The effectiveness of Axial-LOB is demonstrated on a large benchmark dataset, containing time series representations of millions of high-frequency trading events, where our model establishes a new state of the art, achieving an excellent directional classification performance at all tested prediction horizons.