Deep learning for market by order data
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Abstract: Market by order (MBO) data - a detailed feed of individual trade instructions for a given stock on an exchange - is arguably one of the most granular sources of microstructure information. While limit order books (LOBs) are implicitly derived from it, MBO data is largely neglected by current academic literature which focuses primarily on LOB modelling. In this paper, we demonstrate the utility of MBO data for forecasting high-frequency price movements, providing an orthogonal source of information to LOB snapshots and expanding the universe of alpha discovery. We provide the first predictive analysis on MBO data by carefully introducing the data structure and presenting a specific normalisation scheme to consider level information in order books and to allow model training with multiple instruments. Through forecasting experiments using deep neural networks, we show that while MBO-driven and LOB-driven models individually provide similar performance, ensembles of the two can lead to improvements in forecasting accuracy - indicating that MBO data is additive to LOB-based features.
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Cites work
- Deep learning
- DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
- Do open market operations matter?
- scientific article; zbMATH DE number 48317 (Why is no real title available?)
- Limit order books
- The Kolmogorov-Smirnov Test for Goodness of Fit
- Universal features of price formation in financial markets: perspectives from deep learning
Cited in
(7)- Are markets truly efficient? Experiments using deep learning algorithms for market movement prediction
- A deep learning approach to estimating fill probabilities in a limit order book
- Deep learning for limit order books
- Universal features of price formation in financial markets: perspectives from deep learning
- Encoding of high-frequency order information and prediction of short-term stock price by deep learning
- Learning multi-market microstructure from order book data
- Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
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