Deep limit order book forecasting: a microstructural guide

DOI10.1080/14697688.2025.2522911MaRDI QIDQ6937505zbMATH OpenFDO

Authors S. Bartolucci, Tomaso Aste

Publication date 26 August 2025

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/14697688.2025.2522911

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial markets (91G15)

Cites work

• A continuous and efficient fundamental price on the discrete order book grid
• A dysfunctional role of high frequency trading in electronic markets
• Comparing two \(K\)-category assignments by a \(K\)-category correlation coefficient
• Continuous Auctions and Insider Trading
• Deep learning for limit order books
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book
• Empirical Analysis of Limit Order Markets
• Enhancing trading strategies with order book signals
• Exogenous and endogenous price jumps belong to different dynamical classes
• High-frequency trading in a limit order book
• Identifying expensive trades by monitoring the limit order book
• Optimal execution with limit and market orders
• Price dynamics in a Markovian limit order market
• Studies of the limit order book around large price changes
• The price impact of order book events: market orders, limit orders and cancellations

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