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Extending Deep Learning Models for Limit Order Books to Quantile Regression

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  • Zihao Zhang
  • Stefan Zohren
  • Stephen Roberts

Abstract

We showcase how Quantile Regression (QR) can be applied to forecast financial returns using Limit Order Books (LOBs), the canonical data source of high-frequency financial time-series. We develop a deep learning architecture that simultaneously models the return quantiles for both buy and sell positions. We test our model over millions of LOB updates across multiple different instruments on the London Stock Exchange. Our results suggest that the proposed network not only delivers excellent performance but also provides improved prediction robustness by combining quantile estimates.

Suggested Citation

  • Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019. "Extending Deep Learning Models for Limit Order Books to Quantile Regression," Papers 1906.04404, arXiv.org.
    • Handle: RePEc:arx:papers:1906.04404
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    Cited by:

    1. Anthony Coache & Sebastian Jaimungal & 'Alvaro Cartea, 2022. "Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning," Papers 2206.14666, arXiv.org, revised May 2023.
    2. Antonio Briola & Jeremy Turiel & Riccardo Marcaccioli & Alvaro Cauderan & Tomaso Aste, 2021. "Deep Reinforcement Learning for Active High Frequency Trading," Papers 2101.07107, arXiv.org, revised Aug 2023.
    3. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2019. "Deep Reinforcement Learning for Trading," Papers 1911.10107, arXiv.org.
    4. Zihao Zhang & Stefan Zohren & Stephen Roberts, 2020. "Deep Learning for Portfolio Optimization," Papers 2005.13665, arXiv.org, revised Jan 2021.
    5. Zihao Zhang & Bryan Lim & Stefan Zohren, 2021. "Deep Learning for Market by Order Data," Papers 2102.08811, arXiv.org, revised Jul 2021.
    6. Antonio Briola & Jeremy Turiel & Tomaso Aste, 2020. "Deep Learning modeling of Limit Order Book: a comparative perspective," Papers 2007.07319, arXiv.org, revised Oct 2020.
    7. Hong Guo & Jianwu Lin & Fanlin Huang, 2023. "Market Making with Deep Reinforcement Learning from Limit Order Books," Papers 2305.15821, arXiv.org.
    8. 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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