mlsanityData to 7 Oct 2026

Deep Limit Order Book Forecasting

arXiv 2403.09267 ↗First posted 14 Mar 2024q-fin.TR cs.LGcited by 7

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Abstract (arXiv)

We exploit cutting-edge deep learning methodologies to explore the predictability of high-frequency Limit Order Book mid-price changes for a heterogeneous set of stocks traded on the NASDAQ exchange. In so doing, we release `LOBFrame', an open-source code base to efficiently process large-scale Limit Order Book data and quantitatively assess state-of-the-art deep learning models' forecasting capabilities. Our results are twofold. We demonstrate that the stocks' microstructural characteristics influence the efficacy of deep learning methods and that their high forecasting power does not necessarily correspond to actionable trading signals. We argue that traditional machine learning metrics fail to adequately assess the quality of forecasts in the Limit Order Book context. As an alternative, we propose an innovative operational framework that evaluates predictions' practicality by focusing on the probability of accurately forecasting complete transactions. This work offers academics and practitioners an avenue to make informed and robust decisions on the application of deep learning techniques, their scope and limitations, effectively exploiting emergent statistical properties of the Limit Order Book.

Key facts. Cited by 7 papers in the map (data through 7 Oct 2026). Builds on 31 of its 114 references that are in the map. First posted on arXiv 14 Mar 2024.

Builds on

31 of 114 references.

References · 31

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19 more
  1. 2018Universal features of price formation in financial markets: perspectives from Deep Learningcited by 59
  2. 2017Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methodscited by 49
  3. 2017Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysiscited by 46
  4. 2018Using Deep Learning for price prediction by exploiting stationary limit order book featurescited by 27
  5. 2021Deep Reinforcement Learning for Active High Frequency Tradingcited by 21
  6. 2020Data Normalization for Bilinear Structures in High-Frequency Financial Time-seriescited by 16
  7. 2021Trading with the Momentum Transformer: An Intelligent and Interpretable Architecturecited by 16
  8. 2018Machine Learning for Forecasting Mid Price Movement using Limit Order Book Datacited by 14
  9. 2023JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for tradingcited by 12
  10. 2020Deep Learning modeling of Limit Order Book: a comparative perspectivecited by 11
  11. 2021Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Unitscited by 10
  12. 2019Temporal Logistic Neural Bag-of-Features for Financial Time series Forecasting leveraging Limit Order Book Datacited by 9
  13. 2022Anatomy of a Stablecoin's failure: the Terra-Luna casecited by 9
  14. 2023LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Studycited by 9
  15. 2022Sparsification and Filtering for Spatial-temporal GNN in Multivariate Time-seriescited by 5
  16. 2023Homological Neural Networks: A Sparse Architecture for Multivariate Complexitycited by 5
  17. 2023Homological Convolutional Neural Networkscited by 4
  18. 2023Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Marketscited by 3
  19. 2023Topological Feature Selectioncited by 3

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Cited by year (2026 to 7 Oct)

Citing papers per year: 2024: 1; 2025: 1; 2026: 5.

7 papers.