TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data
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Abstract (arXiv)
Price Trend Prediction (PTP) based on Limit Order Book (LOB) data is a fundamental challenge in financial markets. Despite advances in deep learning, existing models fail to generalize across different market conditions and assets. Surprisingly, by adapting a simple MLP-based architecture to LOB, we show that we surpass SoTA performance; thus, challenging the necessity of complex architectures. Unlike past work that shows robustness issues, we propose TLOB, a transformer-based model that uses a dual attention mechanism to capture spatial and temporal dependencies in LOB data. This allows it to adaptively focus on the market microstructure, making it particularly effective for longer-horizon predictions and volatile market conditions. We also introduce a new labeling method that improves on previous ones, removing the horizon bias. We evaluate TLOB's effectiveness across four horizons, using the established FI-2010 benchmark, a NASDAQ and a Bitcoin dataset. TLOB outperforms SoTA methods in every dataset and horizon. Additionally, we empirically show how stock price predictability has declined over time, -6.68 in F1-score, highlighting the growing market efficiency. Predictability must be considered in relation to transaction costs, so we experimented with defining trends using an average spread, reflecting the primary transaction cost. The resulting performance deterioration underscores the complexity of translating trend classification into profitable trading strategies. We argue that our work provides new insights into the evolving landscape of stock price trend prediction and sets a strong foundation for future advancements in financial AI. We release the code at https://github.com/LeonardoBerti00/TLOB.
Key facts. Cited by 4 papers in the map (data through 14 Oct 2026). Builds on 28 of its 56 references that are in the map. First posted on arXiv 12 Feb 2025.
Builds on
28 of 56 references.
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16 more
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Built on by
Citing papers per year: 2025: 2; 2026: 2.
4 papers.
- 2026TradeFM: A Generative Foundation Model for Trade-flow and Market Microstructurecited by 6
- 2025LOBERT: Generative AI Foundation Model for Limit Order Book Messagescited by 2
- 2025Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layercited by 0
- 2026Inference-Time Decision Calibration for Temporal Classificationcited by 0
- 2026Inference-Time Decision Calibration for Temporal Classification14 Jun 2026
- 2026TradeFM: A Generative Foundation Model for Trade-flow and Market Microstructure27 Feb 2026
- 2025LOBERT: Generative AI Foundation Model for Limit Order Book Messages16 Nov 2025
- 2025Exploring Microstructural Dynamics in Cryptocurrency Limit Order Books: Better Inputs Matter More Than Stacking Another Hidden Layer6 Jun 2025