Multi-horizon forecasting for limit order books

A multi-step path is forecast using deep learning and parallel computing


Zihao Zhang and Stefan Zohren design multi-horizon forecasting models for limit order book (LOB) data by using deep learning techniques. Unlike standard structures where a single prediction is made, encoder-decoder models are adopted to generate a forecasting path. Their methods achieve comparable performance to state-of-the-art algorithms at short prediction horizons

Limit order books (LOBs), as the canonical example of high-frequency financial microstructure

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