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Transformers for Limit Order Books

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  • James Wallbridge

Abstract

We introduce a new deep learning architecture for predicting price movements from limit order books. This architecture uses a causal convolutional network for feature extraction in combination with masked self-attention to update features based on relevant contextual information. This architecture is shown to significantly outperform existing architectures such as those using convolutional networks (CNN) and Long-Short Term Memory (LSTM) establishing a new state-of-the-art benchmark for the FI-2010 dataset.

Suggested Citation

  • James Wallbridge, 2020. "Transformers for Limit Order Books," Papers 2003.00130, arXiv.org.
    • Handle: RePEc:arx:papers:2003.00130
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    References listed on IDEAS

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    1. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    2. Avraam Tsantekidis & Nikolaos Passalis & Anastasios Tefas & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2018. "Using Deep Learning for price prediction by exploiting stationary limit order book features," Papers 1810.09965, arXiv.org.
    3. Ymir Mäkinen & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2019. "Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data," Quantitative Finance, Taylor & Francis Journals, vol. 19(12), pages 2033-2050, December.
    4. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
    5. Wei Bao & Jun Yue & Yulei Rao, 2017. "A deep learning framework for financial time series using stacked autoencoders and long-short term memory," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-24, July.
    6. 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.
    7. Fischer, Thomas & Krauss, Christopher, 2018. "Deep learning with long short-term memory networks for financial market predictions," European Journal of Operational Research, Elsevier, vol. 270(2), pages 654-669.
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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. Ilia Zaznov & Julian Kunkel & Alfonso Dufour & Atta Badii, 2022. "Predicting Stock Price Changes Based on the Limit Order Book: A Survey," Mathematics, MDPI, vol. 10(8), pages 1-33, April.
    3. Amit Milstein & Haoran Deng & Guy Revach & Hai Morgenstern & Nir Shlezinger, 2022. "Neural Augmented Kalman Filtering with Bollinger Bands for Pairs Trading," Papers 2210.15448, arXiv.org, revised Sep 2023.
    4. 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.
    5. Zihao Zhang & Bryan Lim & Stefan Zohren, 2021. "Deep Learning for Market by Order Data," Papers 2102.08811, arXiv.org, revised Jul 2021.
    6. Jonathan Sadighian, 2020. "Extending Deep Reinforcement Learning Frameworks in Cryptocurrency Market Making," Papers 2004.06985, arXiv.org.
    7. 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.
    8. Yufei Wu & Mahmoud Mahfouz & Daniele Magazzeni & Manuela Veloso, 2021. "How Robust are Limit Order Book Representations under Data Perturbation?," Papers 2110.04752, arXiv.org.

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