Economics at your fingertips  

BDLOB: Bayesian Deep Convolutional Neural Networks for Limit Order Books

Zihao Zhang, Stefan Zohren and Stephen Roberts

Papers from

Abstract: We showcase how dropout variational inference can be applied to a large-scale deep learning model that predicts price movements from limit order books (LOBs), the canonical data source representing trading and pricing movements. We demonstrate that uncertainty information derived from posterior predictive distributions can be utilised for position sizing, avoiding unnecessary trades and improving profits. Further, we test our models by using millions of observations across several instruments and markets from the London Stock Exchange. Our results suggest that those Bayesian techniques not only deliver uncertainty information that can be used for trading but also improve predictive performance as stochastic regularisers. To the best of our knowledge, we are the first to apply Bayesian networks to LOBs.

Date: 2018-11
New Economics Papers: this item is included in nep-big, nep-cmp, nep-ecm and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Published in Third workshop on Bayesian Deep Learning (NeurIPS 2018)

Downloads: (external link) Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2023-09-20
Handle: RePEc:arx:papers:1811.10041