The paper examines the reliability of limit order book representations in the face of data perturbation.
problem The reliability of limit order book representations under data perturbation.
method Experimental analysis of existing representations and guidelines for future research.
result Existing representations of limit order book data are vulnerable to data perturbation.
Forecasting the movements of stock prices is one the most challenging problems in financial markets analysis. In this paper, we use Machine Learning (ML) algorithms for the prediction of future price movements using limit order book data. Two different sets of features are combined and evaluated: handcrafted features b…
Model predicts next destination for users based on past trips and features.
problem Predicting the next destination in multi-destination trips.
method Used Cleora for city graph embedding and EMDE for prediction.
result Achieved 2nd place in Booking Data Challenge.
Study integrates deep learning with financial data for improved trading strategies.
problem Enhancing predictive performance in algorithmic trading and portfolio optimization.
method Developed embedding techniques to treat limit order book snapshots as image-based input channels.
result Achieved state-of-the-art performance in high-frequency trading algorithms.
Modern e-commerce catalogs contain millions of references, associated with textual and visual information that is of paramount importance for the products to be found via search or browsing. Of particular significance is the book category, where the author name(s) field poses a significant challenge. Indeed, books writ…
The Tick library simulates and learns Hawkes processes with latency effects.
problem Correctly modeling causality in order book events with latency.
method Exponential kernels shifted by latency, derived log-likelihood expressions.
result Latency determines most decays in real data, showing decay relationships.
AI-driven sales prioritization boosts renewal bookings by 8.08%.
problem Manual sales account prioritization is inefficient and under-invested.
method Developed an AI-based Account Prioritizer using machine learning and explanation algorithms.
result Generated a +8.08% increase in renewal bookings.
LOB-Bench benchmarks generative AI for financial data, outperforming traditional models.
problem Lack of consensus on evaluating generative AI models for financial data.
method Python-based benchmark with LOB statistics and market impact metrics.
result Generative autoregressive models outperform traditional models in LOB data.
This paper develops a new neural network architecture for modeling spatial distributions (i.e., distributions on R^d) which is computationally efficient and specifically designed to take advantage of the spatial structure of limit order books. The new architecture yields a low-dimensional model of price movements deep …
Paper models Bitcoin market dynamics using 1+1D field theory.
problem Understanding stylized facts in Bitcoin markets.
method Collects order-book datasets, applies KPZ-like stochastic equations.
result Predicts order book dynamics with high precision.
Managing the prediction of metrics in high-frequency financial markets is a challenging task. An efficient way is by monitoring the dynamics of a limit order book to identify the information edge. This paper describes the first publicly available benchmark dataset of high-frequency limit order markets for mid-price pre…
Study develops advanced models to forecast complex LOB data.
problem Forecasting high-frequency data in a limit order book (LOB).
method Advanced multidimensional sequence-to-sequence models with compound multivariate embedding.
result Method outperforms other multivariate forecasting methods, achieving lowest forecasting error.
This paper uses CGANs to simulate and improve trading agent performance in limit order books.
problem Improving trading agent performance in limit order book environments.
method Investigates conditional generative models (CGANs) for order book simulation and adversarial attacks to enhance realism and robustness.
result CGANs can be improved to better simulate real market conditions and are more robust to adversarial attacks.
Study forecasts cryptocurrency returns using LOB data and Hawkes model.
problem Predicting cryptocurrency returns due to their chaotic nature.
method Hawkes model applied to LOB data with COE model.
result Outperforms benchmarks in cryptocurrency return sign forecasting.
This paper uses deep RL to optimize market quotes from LOB data.
problem Optimizing quotes for market making from complex LOB data.
method Attn-LOB neural network with convolutional filters and attention mechanism for feature extraction; hybrid reward function for continuous action space.
result The RL agent outperforms traditional methods in market making tasks.
Model simulates sparse order books in illiquid markets.
problem Inaccurate LOB models in illiquid markets.
method Inhomogeneous Poisson process for order arrivals and cancellations.
result Enhanced understanding of LOB dynamics in illiquid markets.
We consider a particular instance of a common problem in recommender systems: using a database of book reviews to inform user-targeted recommendations. In our dataset, books are categorized into genres and sub-genres. To exploit this nested taxonomy, we use a hierarchical model that enables information pooling across a…
Continual learning is hard for AI, leading to forgetting old knowledge.
problem Catastrophic forgetting in AI when learning new data.
method Review of continual learning in deep learning.
result Challenges and insights in continual learning.
PriceAggregator optimizes hotel price fetching to increase Agoda's bookings.
problem Limited QPS from suppliers causes many user searches to be ignored.
method Intelligently determines queries to suppliers for price fetching.
result PriceAggregator increases Agoda's bookings significantly.
DSLOB creates synthetic LOB data for benchmarking forecasting algorithms under distributional shifts.
problem Challenges in dealing with out-of-distribution limit order book data.
method Multi-agent market simulator to create labeled synthetic LOB dataset with and without market stress.
result Demonstrates the need for robust forecasting algorithms to handle distributional shifts.
Framework detects covert financial market manipulation using LOB representations.
problem Detecting covert financial market manipulation (spoofing) from complex anomaly patterns in multilevel prices.
method Cascaded contrastive representation learning of LOB data.
result Transformer-based architectures achieve state-of-the-art results in detection performance.
In this paper, we present a real-world conversational AI system to search for and book hotels through text messaging. Our architecture consists of a frame-based dialogue management system, which calls machine learning models for intent classification, named entity recognition, and information retrieval subtasks. Our ch…
The study connects periodic surface homeomorphisms to contact structures using rational open books.
problem Understanding the properties of contact structures associated with periodic surface homeomorphisms.
method Associate rational open books to marked data sets, study contact structures, and prove Stein fillability conditions.
result A class of data sets gives rise to Stein fillable contact structures under certain combinatorial conditions.
The paper introduces foliated open books for contact 3-manifolds with boundary foliations.
problem Studying contact manifolds with convex boundary using finer tools.
method Developed a new type of open book decomposition with a specified characteristic foliation on the boundary.
result Established the uniqueness and existence of foliated open books and their equivalence to other models.
The existing literature provides evidence that limit order book data can be used to predict short-term price movements in stock markets. This paper proposes a new neural network architecture for predicting return jump arrivals in equity markets with high-frequency limit order book data. This new architecture, based on …
GPT model shows promise in financial market predictions.
problem Challenges in predicting stock market movements due to noisy data.
method Comparing GPT model with BERT model using Federal Reserve Beige Book data.
result GPT model has look-ahead bias, traditional models still perform better.
Python module for RL trading in limit order books.
problem Training RL agents for algorithmic trading in limit order books.
method Model-based gym environments for reinforcement learning.
result Efficient RL training for trading problems.
TLOB predicts stock prices better than existing models by adapting a simple MLP to LOB data.
problem Predicting stock prices from LOB data is challenging and complex.
method TLOB uses a transformer model with dual attention to capture spatial and temporal dependencies.
result TLOB outperforms state-of-the-art models across multiple datasets and horizons.
LOBDIF predicts limit order book events using a diffusion model.
problem Predicting the timing and type of events in a dynamic market system.
method LOBDIF uses a diffusion model to learn the complex time-event distribution in limit order book streams.
result LOBDIF significantly outperforms existing methods in real-world data experiments.
Latent order book models have allowed for significant progress in our understanding of price formation in financial markets. In particular they are able to reproduce a number of stylized facts, such as the square-root impact law. An important question that is raised -- if one is to bring such models closer to real mark…
DiffVolume generates realistic volume snapshots for LOBs.
problem Generating high-dimensional volume snapshots in LOBs is challenging.
method Conditional Diffusion model for volume generation.
result DiffVolume outperforms in realism, counterfactual generation, and downstream prediction.
Modeling high-frequency order book data with Hawkes-Markovian process.
problem Capturing the dynamics of high-frequency order book events.
method Hawkes process with Markovian baseline intensities, LASSO regularization, and Akaike Information Criteria.
result Effective modeling of order book dynamics with reduced parameter redundancy.
This paper employs machine learning algorithms to forecast German electricity spot market prices. The forecasts utilize in particular bid and ask order book data from the spot market but also fundamental market data like renewable infeed and expected demand. Appropriate feature extraction for the order book data is dev…
Paper improves deep learning models for limit order book data.
problem Deep learning models' performance depends on robust input data representation.
method Identified and modified flaws in existing representations.
result Proposed modifications lead to state-of-the-art performance.
Deep learning predicts Bitcoin spot price movements from order books.
problem Predicting cryptocurrency spot price movements from order book data.
method Temporal CNNs trained on 2-second prediction time horizon.
result 71% walk-forward accuracy on coinbase data.
This review of the book "The Challenge of Financial Stability: A New Model and its Applications" by Goodhart C.A.E. and Tsomocos D.P. highlights the potential of the framework of strategic partial default of banks with credit chain on the interbank market for further theoretical and applied research on financial stabil…
Generative model predicts financial market order flow with high accuracy.
problem Creating realistic order flow models for financial markets.
method Token-level autoregressive generative model using deep state space layers.
result Model generates high-quality order flow data with low perplexity.
T-KAN improves HFT LOB forecasting with learnable splines.
problem Alpha decay in HFT LOB forecasting models.
method T-KAN uses learnable B-spline activation functions to model market signals.
result 19.1% relative improvement in F1-score at k = 100 horizon.
The latent order book of \cite{donier2015fully} is one of the most promising agent-based models for market impact. This work extends the minimal model by allowing agents to exhibit mean-reversion, a commonly observed pattern in real markets. This modification leads to new order book dynamics, which we explicitly study …
Paper examines GCHP for mid-price prediction in financial data.
problem Predicting mid-price in financial data with stochastic models.
method General Compound Hawkes Process (GCHP) for mid-price prediction.
result GCHP models show potential for predicting mid-price direction and volatility.
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen r…
Graph Neural Network improves volatility forecasting for 500 S&P stocks.
problem Forecasting short-term realized volatility in a multivariate setting.
method Graph Transformer Network for Volatility Forecasting.
result Our model outperforms benchmarks on 500 S&P stocks.
We introduce the notion of a nested open book, a submanifold equipped with an open book structure compatible with an ambient open book, and describe in detail the special case of a push-off of the binding of an open book. This enables us to explicitly describe a natural open book decomposition of a fibre connected sum …
Enhanced deep learning model predicts stock price movement using LOB data.
problem Challenges in predicting stock price movement from high-dimensional, volatile LOB data.
method Siamese architecture with multi-head attention and LSTM modules.
result Significant improvement in stock price prediction performance over strong baselines.
Generative tools mimic stock market traders using synthetic data.
problem Imitating trading behavior of stock market participants.
method Modified state-space model applied to limit order book data, trained on synthetic data generated from a heterogeneous agent-based model.
result Model's predicted distribution matches ground truths from the agent-based model.
Model uses statistical physics principles to predict financial market volatility and returns.
problem Predicting price volatility and expected returns in financial markets.
method Inspired by statistical physics, the study introduces a physical model using Level 3 order book data to measure kinetic energy and momentum.
result The model outperforms traditional and machine learning approaches in forecasting volatility and expected returns.
The paper considers a general semi-Markov model for Limit Order Books with two states, which incorporates price changes that are not fixed to one tick. Furthermore, we introduce an even more general case of the semi-Markov model for LimitOrder Books that incorporates an arbitrary number of states for the price changes.…
RL agents optimize order execution in a realistic market simulation.
problem Optimal order execution challenges in a complex market.
method Multi-agent RL in a historical order book simulation.
result RL agents converge to TWAP strategies in some scenarios.