IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2212.01807.html
   My bibliography  Save this paper

Axial-LOB: High-Frequency Trading with Axial Attention

Author

Listed:
  • Damian Kisiel
  • Denise Gorse

Abstract

Previous attempts to predict stock price from limit order book (LOB) data are mostly based on deep convolutional neural networks. Although convolutions offer efficiency by restricting their operations to local interactions, it is at the cost of potentially missing out on the detection of long-range dependencies. Recent studies address this problem by employing additional recurrent or attention layers that increase computational complexity. In this work, we propose Axial-LOB, a novel fully-attentional deep learning architecture for predicting price movements of stocks from LOB data. By utilizing gated position-sensitive axial attention layers our architecture is able to construct feature maps that incorporate global interactions, while significantly reducing the size of the parameter space. Unlike previous works, Axial-LOB does not rely on hand-crafted convolutional kernels and hence has stable performance under input permutations and the capacity to incorporate additional LOB features. The effectiveness of Axial-LOB is demonstrated on a large benchmark dataset, containing time series representations of millions of high-frequency trading events, where our model establishes a new state of the art, achieving an excellent directional classification performance at all tested prediction horizons.

Suggested Citation

  • Damian Kisiel & Denise Gorse, 2022. "Axial-LOB: High-Frequency Trading with Axial Attention," Papers 2212.01807, arXiv.org.
  • Handle: RePEc:arx:papers:2212.01807
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2212.01807
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Zoltán Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren, 2012. "The price impact of order book events: market orders, limit orders and cancellations," Quantitative Finance, Taylor & Francis Journals, vol. 12(9), pages 1395-1419, September.
    2. Damian Kisiel & Denise Gorse, 2021. "A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection," Papers 2111.05935, arXiv.org.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Tom Liu & Stephen Roberts & Stefan Zohren, 2023. "Deep Inception Networks: A General End-to-End Framework for Multi-asset Quantitative Strategies," Papers 2307.05522, arXiv.org.
    2. Matteo Prata & Giuseppe Masi & Leonardo Berti & Viviana Arrigoni & Andrea Coletta & Irene Cannistraci & Svitlana Vyetrenko & Paola Velardi & Novella Bartolini, 2023. "LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study," Papers 2308.01915, arXiv.org, revised Sep 2023.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ioane Muni Toke & Nakahiro Yoshida, 2020. "Marked point processes and intensity ratios for limit order book modeling," Papers 2001.08442, arXiv.org.
    2. Filip Stanek & Jiri Kukacka, 2018. "The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 865-892, April.
    3. Antonio Briola & Silvia Bartolucci & Tomaso Aste, 2024. "Deep Limit Order Book Forecasting," Papers 2403.09267, arXiv.org, revised Mar 2024.
    4. Massil Achab & Emmanuel Bacry & Jean-Franc{c}ois Muzy & Marcello Rambaldi, 2017. "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix," Papers 1706.03411, arXiv.org.
    5. Jonathan A. Chávez Casillas, 2024. "A Time-Dependent Markovian Model of a Limit Order Book," Computational Economics, Springer;Society for Computational Economics, vol. 63(2), pages 679-709, February.
    6. Thibault Jaisson, 2015. "Liquidity and Impact in Fair Markets," Papers 1506.02507, arXiv.org.
    7. Weibing Huang & Charles-Albert Lehalle & Mathieu Rosenbaum, 2015. "Simulating and Analyzing Order Book Data: The Queue-Reactive Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 107-122, March.
    8. Shunya Chomei, 2023. "Empirical analysis in limit order book modeling for Nikkei 225 Stocks with Cox-type intensities," Papers 2302.01668, arXiv.org, revised Feb 2023.
    9. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
    10. Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding, 2017. "Determining the integrated volatility via limit order books with multiple records," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1697-1714, November.
    11. Miles Kumaresan & Nataša Krejić, 2015. "Optimal trading of algorithmic orders in a liquidity fragmented market place," Annals of Operations Research, Springer, vol. 229(1), pages 521-540, June.
    12. Xiaofei Lu & Frédéric Abergel, 2017. "Limit order book modelling with high dimensional Hawkes processes," Working Papers hal-01512430, HAL.
    13. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
    14. Xuefeng Gao & Yunhan Wang, 2018. "Optimal Market Making in the Presence of Latency," Papers 1806.05849, arXiv.org, revised Mar 2020.
    15. Mark Marner-Hausen, 2022. "Developing a Framework for Real-Time Trading in a Laboratory Financial Market," ECONtribute Discussion Papers Series 172, University of Bonn and University of Cologne, Germany.
    16. Aur'elien Alfonsi & Pierre Blanc, 2014. "Dynamic optimal execution in a mixed-market-impact Hawkes price model," Papers 1404.0648, arXiv.org, revised Jun 2015.
    17. Hyoeun Lee & Kiseop Lee, 2020. "Optimal execution with liquidity risk in a diffusive order book market," Papers 2004.10951, arXiv.org.
    18. Olivier Guéant, 2016. "The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making," Post-Print hal-01393136, HAL.
    19. Alvaro Arroyo & Alvaro Cartea & Fernando Moreno-Pino & Stefan Zohren, 2023. "Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers," Papers 2306.05479, arXiv.org.
    20. Gao, Xuefeng & Xu, Tianrun, 2022. "Order scoring, bandit learning and order cancellations," Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2212.01807. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.