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Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods

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  • Adamantios Ntakaris
  • Martin Magris
  • Juho Kanniainen
  • Moncef Gabbouj
  • Alexandros Iosifidis

Abstract

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 prediction. We extracted normalized data representations of time series data for five stocks from the Nasdaq Nordic stock market for a time period of 10 consecutive days, leading to a dataset of ∼4,000,000 time series samples in total. A day‐based anchored cross‐validation experimental protocol is also provided that can be used as a benchmark for comparing the performance of state‐of‐the‐art methodologies. Performance of baseline approaches are also provided to facilitate experimental comparisons. We expect that such a large‐scale dataset can serve as a testbed for devising novel solutions of expert systems for high‐frequency limit order book data analysis.

Suggested Citation

  • Adamantios Ntakaris & Martin Magris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018. "Benchmark dataset for mid‐price forecasting of limit order book data with machine learning methods," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 37(8), pages 852-866, December.
    • Handle: RePEc:wly:jforec:v:37:y:2018:i:8:p:852-866
    DOI: 10.1002/for.2543
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    Citations

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    Cited by:

    1. Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021. "Towards Robust Representation of Limit Orders Books for Deep Learning Models," Papers 2110.05479, arXiv.org, revised Dec 2022.
    2. Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023. "Forecasting mid-price movement of Bitcoin futures using machine learning," Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
    3. Bangzhu Zhu & Shunxin Ye & Ping Wang & Julien Chevallier & Yi‐Ming Wei, 2022. "Forecasting carbon price using a multi‐objective least squares support vector machine with mixture kernels," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(1), pages 100-117, January.
    4. Zijian Shi & Yu Chen & John Cartlidge, 2021. "The LOB Recreation Model: Predicting the Limit Order Book from TAQ History Using an Ordinary Differential Equation Recurrent Neural Network," Papers 2103.01670, arXiv.org.
    5. Long, Yunshen & Yan, Jingzhou & Wu, Liang & Long, Xingchen, 2024. "Market price determination: Interpreting quote order imbalance under zero-profit equilibrium," Economic Modelling, Elsevier, vol. 134(C).
    6. Adamantios Ntakaris & Giorgio Mirone & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2019. "Feature Engineering for Mid-Price Prediction with Deep Learning," Papers 1904.05384, arXiv.org, revised Jun 2019.
    7. Matteo Prata & Giuseppe Masi & Leonardo Berti & Viviana Arrigoni & Andrea Coletta & Irene Cannistraci & Svitlana Vyetrenko & Paola Velardi & Novella Bartolini, 2023. "LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study," Papers 2308.01915, arXiv.org, revised Sep 2023.
    8. Zihao Zhang & Bryan Lim & Stefan Zohren, 2021. "Deep Learning for Market by Order Data," Papers 2102.08811, arXiv.org, revised Jul 2021.
    9. Jiwon Jung & Kiseop Lee, 2024. "Attention-Based Reading, Highlighting, and Forecasting of the Limit Order Book," Papers 2409.02277, arXiv.org.
    10. Rakshit Jha & Mattijs De Paepe & Samuel Holt & James West & Shaun Ng, 2020. "Deep Learning for Digital Asset Limit Order Books," Papers 2010.01241, arXiv.org.
    11. Zijian Shi & John Cartlidge, 2021. "The Limit Order Book Recreation Model (LOBRM): An Extended Analysis," Papers 2107.00534, arXiv.org.
    12. Myles Sjogren & Timothy DeLise, 2021. "General Compound Hawkes Processes for Mid-Price Prediction," Papers 2110.07075, arXiv.org.
    13. Mostafa Shabani & Martin Magris & George Tzagkarakis & Juho Kanniainen & Alexandros Iosifidis, 2022. "Predicting the State of Synchronization of Financial Time Series using Cross Recurrence Plots," Papers 2210.14605, arXiv.org, revised Nov 2022.
    14. Lorenzo Lucchese & Mikko Pakkanen & Almut Veraart, 2022. "The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective," Papers 2211.13777, arXiv.org, revised Oct 2023.
    15. Martin Magris & Mostafa Shabani & Alexandros Iosifidis, 2022. "Bayesian Bilinear Neural Network for Predicting the Mid-price Dynamics in Limit-Order Book Markets," Papers 2203.03613, arXiv.org, revised Jan 2023.
    16. James Wallbridge, 2020. "Transformers for Limit Order Books," Papers 2003.00130, arXiv.org.
    17. Hong Guo & Jianwu Lin & Fanlin Huang, 2023. "Market Making with Deep Reinforcement Learning from Limit Order Books," Papers 2305.15821, arXiv.org.
    18. Zihao Zhang & Stefan Zohren, 2021. "Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units," Papers 2105.10430, arXiv.org, revised Aug 2021.

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