TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data

12 February 2025

Papers citing "TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data"

25 / 25 papers shown

Title
TRADES: Generating Realistic Market Simulations with Diffusion Models Leonardo Berti Bardh Prenkaj Paola Velardi DiffM 170 1 0 31 Jan 2025
Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network Peer Nagy Sascha Frey Silvia Sapora Kang Li Anisoara Calinescu Stefan Zohren Jakob Foerster 47 16 0 23 Aug 2023
LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study Matteo Prata Giuseppe Masi Leonardo Berti Viviana Arrigoni Andrea Coletta Irene Cannistraci Svitlana Vyetrenko Paola Velardi N. Bartolini 75 10 0 05 Jul 2023
Neural Stochastic Agent-Based Limit Order Book Simulation: A Hybrid Methodology Zijian Shi John Cartlidge 30 11 0 28 Feb 2023
Symbolic Discovery of Optimization Algorithms Xiangning Chen Chen Liang Da Huang Esteban Real Kaiyuan Wang ... Xuanyi Dong Thang Luong Cho-Jui Hsieh Yifeng Lu Quoc V. Le 147 374 0 13 Feb 2023
Axial-LOB: High-Frequency Trading with Axial Attention Damian Kisiel D. Gorse 52 8 0 04 Dec 2022
Learning to simulate realistic limit order book markets from data as a World Agent Andrea Coletta Aymeric Moulin Svitlana Vyetrenko T. Balch 68 38 0 26 Sep 2022
TabPFN: A Transformer That Solves Small Tabular Classification Problems in a Second Noah Hollmann Samuel G. Müller Katharina Eggensperger Frank Hutter 109 307 0 05 Jul 2022
Are Transformers Effective for Time Series Forecasting? Ailing Zeng Mu-Hwa Chen L. Zhang Qiang Xu AI4TS 149 1,740 0 26 May 2022
Towards Realistic Market Simulations: a Generative Adversarial Networks Approach Andrea Coletta Matteo Prata Michele Conti Emanuele Mercanti N. Bartolini Aymeric Moulin Svitlana Vyetrenko T. Balch GAN 62 44 0 25 Oct 2021
Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units Zihao Zhang S. Zohren 45 24 0 21 May 2021
MLP-Mixer: An all-MLP Architecture for Vision Ilya O. Tolstikhin N. Houlsby Alexander Kolesnikov Lucas Beyer Xiaohua Zhai ... Andreas Steiner Daniel Keysers Jakob Uszkoreit Mario Lucic Alexey Dosovitskiy 418 2,674 0 04 May 2021
Transformers in Vision: A Survey Salman Khan Muzammal Naseer Munawar Hayat Syed Waqas Zamir Fahad Shahbaz Khan M. Shah ViT 305 2,516 0 04 Jan 2021
Generating Realistic Stock Market Order Streams Junyi Li Xintong Wang Yaoyang Lin Arunesh Sinha Michael P. Wellman GAN AIFin 62 81 0 07 Jun 2020
Language Models are Few-Shot Learners Tom B. Brown Benjamin Mann Nick Ryder Melanie Subbiah Jared Kaplan ... Christopher Berner Sam McCandlish Alec Radford Ilya Sutskever Dario Amodei BDL 795 42,055 0 28 May 2020
Scaling Laws for Neural Language Models Jared Kaplan Sam McCandlish T. Henighan Tom B. Brown B. Chess R. Child Scott Gray Alec Radford Jeff Wu Dario Amodei 605 4,822 0 23 Jan 2020
Deep Reinforcement Learning for Trading Zihao Zhang S. Zohren Stephen J. Roberts AIFin 79 207 0 22 Nov 2019
Using Deep Learning for price prediction by exploiting stationary limit order book features Avraam Tsantekidis Nikolaos Passalis Anastasios Tefas Juho Kanniainen Moncef Gabbouj Alexandros Iosifidis OOD 48 90 0 23 Oct 2018
Machine Learning for Forecasting Mid Price Movement using Limit Order Book Data Paraskevi Nousi Avraam Tsantekidis Nikolaos Passalis Adamantios Ntakaris Juho Kanniainen Anastasios Tefas Moncef Gabbouj Alexandros Iosifidis 44 53 0 19 Sep 2018
Universal features of price formation in financial markets: perspectives from Deep Learning Justin A. Sirignano R. Cont AIFin 64 261 0 19 Mar 2018
Temporal Attention augmented Bilinear Network for Financial Time-Series Data Analysis D. Tran Alexandros Iosifidis Juho Kanniainen Moncef Gabbouj AIFin AI4TS 39 202 0 04 Dec 2017
Attention Is All You Need Ashish Vaswani Noam M. Shazeer Niki Parmar Jakob Uszkoreit Llion Jones Aidan Gomez Lukasz Kaiser Illia Polosukhin 3DV 701 131,652 0 12 Jun 2017
Gaussian Error Linear Units (GELUs) Dan Hendrycks Kevin Gimpel 169 5,011 0 27 Jun 2016
Adam: A Method for Stochastic Optimization Diederik P. Kingma Jimmy Ba ODL 1.8K 150,115 0 22 Dec 2014
Learning Phrase Representations using RNN Encoder-Decoder for Statistical Machine Translation Kyunghyun Cho B. V. Merrienboer Çağlar Gülçehre Dzmitry Bahdanau Fethi Bougares Holger Schwenk Yoshua Bengio AIMat 1.0K 23,354 0 03 Jun 2014