{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/investigating-limit-order-book","title":"Investigating Limit Order Book Characteristics for Short Term Price Prediction: a Machine Learning Approach","arxiv_id":"1901.10534","date":"2018-12-20","proceeding":null,"authors":["Faisal I Qureshi"],"abstract":"With the proliferation of algorithmic high-frequency trading in financial\nmarkets, the Limit Order Book has generated increased research interest.\nResearch is still at an early stage and there is much we do not understand\nabout the dynamics of Limit Order Books. In this paper, we employ a machine\nlearning approach to investigate Limit Order Book features and their potential\nto predict short term price movements. This is an initial broad-based\ninvestigation that results in some novel observations about LOB dynamics and\nidentifies several promising directions for further research. Furthermore, we\nobtain prediction results that are significantly superior to a baseline\npredictor.","url_abs":"http://arxiv.org/abs/1901.10534v1","url_pdf":"http://arxiv.org/pdf/1901.10534v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"investigating-limit-order-book","repo_url":"https://github.com/radoslawkrolikowski/financial-market-data-analysis","is_official":0,"mentioned_in_paper":0,"mentioned_in_github":1,"framework":"pytorch","reach":null}],"tasks":[{"task_slug":"machine-learning","task_name":"BIG-bench Machine Learning"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}