DSLOB: A Synthetic Limit Order Book Dataset for Benchmarking Forecasting Algorithms under Distributional Shift

17 November 2022

Papers citing "DSLOB: A Synthetic Limit Order Book Dataset for Benchmarking Forecasting Algorithms under Distributional Shift"

21 / 21 papers shown

Title
LOB-Bench: Benchmarking Generative AI for Finance - an Application to Limit Order Book Data Peer Nagy Sascha Frey Kang Li Bidipta Sarkar Svitlana Vyetrenko Stefan Zohren Ani Calinescu Jakob Foerster 144 1 0 13 Feb 2025
Coupled Multiwavelet Neural Operator Learning for Coupled Partial Differential Equations Xiongye Xiao De-An Cao Ruochen Yang Gaurav Gupta Gengshuo Liu Chenzhong Yin R. Balan P. Bogdan 118 9 0 04 Mar 2023
Counterfactual Neural Temporal Point Process for Estimating Causal Influence of Misinformation on Social Media Yizhou Zhang Defu Cao Yang Liu CML 63 23 0 14 Oct 2022
AdaRNN: Adaptive Learning and Forecasting of Time Series Yuntao Du Jindong Wang Wenjie Feng Sinno Jialin Pan Tao Qin Renjun Xu Chongjun Wang AI4TS 52 243 0 10 Aug 2021
Shifts: A Dataset of Real Distributional Shift Across Multiple Large-Scale Tasks A. Malinin Neil Band Ganshin Alexander German Chesnokov ... Roginskiy Denis Mariya Shmatova Panos Tigas Boris Yangel UQCV OOD 75 130 0 15 Jul 2021
Spectral Temporal Graph Neural Network for Multivariate Time-series Forecasting Defu Cao Yujing Wang Juanyong Duan Ce Zhang Xia Zhu ... Yunhai Tong Bixiong Xu Jing Bai Jie Tong Qi Zhang AI4TS 47 512 0 13 Mar 2021
Deep Visual Domain Adaptation G. Csurka OOD 185 185 0 28 Dec 2020
WILDS: A Benchmark of in-the-Wild Distribution Shifts Pang Wei Koh Shiori Sagawa Henrik Marklund Sang Michael Xie Marvin Zhang ... A. Kundaje Emma Pierson Sergey Levine Chelsea Finn Percy Liang OOD 170 1,428 0 14 Dec 2020
Further Analysis of Outlier Detection with Deep Generative Models Ziyu Wang Bin Dai David Wipf Jun Zhu 51 39 0 25 Oct 2020
Energy-based Out-of-distribution Detection Weitang Liu Xiaoyun Wang John Douglas Owens Yixuan Li OODD 269 1,354 0 08 Oct 2020
A Unifying Review of Deep and Shallow Anomaly Detection Lukas Ruff Jacob R. Kauffmann Robert A. Vandermeulen G. Montavon Wojciech Samek Marius Kloft Thomas G. Dietterich Klaus-Robert Muller UQCV 104 797 0 24 Sep 2020
Multivariate Time-series Anomaly Detection via Graph Attention Network Hang Zhao Yujing Wang Juanyong Duan Congrui Huang Defu Cao Yunhai Tong Bixiong Xu Jing Bai Jie Tong Qi Zhang AI4TS 44 432 0 04 Sep 2020
In Search of Lost Domain Generalization Ishaan Gulrajani David Lopez-Paz OOD 76 1,143 0 02 Jul 2020
Neural Unsupervised Domain Adaptation in NLP---A Survey Alan Ramponi Barbara Plank OOD 82 258 0 31 May 2020
Multi-Source Deep Domain Adaptation with Weak Supervision for Time-Series Sensor Data Garrett Wilson J. Doppa D. Cook TTA AI4TS AI4CE 50 146 0 22 May 2020
Are We Modeling the Task or the Annotator? An Investigation of Annotator Bias in Natural Language Understanding Datasets Mor Geva Yoav Goldberg Jonathan Berant 320 325 0 21 Aug 2019
Likelihood Ratios for Out-of-Distribution Detection Jie Jessie Ren Peter J. Liu Emily Fertig Jasper Snoek Ryan Poplin M. DePristo Joshua V. Dillon Balaji Lakshminarayanan OODD 180 721 0 07 Jun 2019
ABIDES: Towards High-Fidelity Market Simulation for AI Research David Byrd Maria Hybinette T. Balch 49 67 0 26 Apr 2019
Deep Anomaly Detection with Outlier Exposure Dan Hendrycks Mantas Mazeika Thomas G. Dietterich OODD 179 1,476 0 11 Dec 2018
Deep Visual Domain Adaptation: A Survey Mei Wang Weihong Deng OOD 66 2,010 0 10 Feb 2018
Going Deeper with Convolutions Christian Szegedy Wei Liu Yangqing Jia P. Sermanet Scott E. Reed Dragomir Anguelov D. Erhan Vincent Vanhoucke Andrew Rabinovich 436 43,635 0 17 Sep 2014