DSLOB: A Synthetic Limit Order Book Dataset for Benchmarking Forecasting Algorithms under Distributional Shift
Cao, Defu, El-Laham, Yousef, Trinh, Loc, Vyetrenko, Svitlana, Liu, Yan
–arXiv.org Artificial Intelligence
In electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream machine learning tasks (e.g., forecasting). However, dealing with out-of-distribution (OOD) LOB data is challenging since distributional shifts are unlabeled in current publicly available LOB datasets. Therefore, it is critical to build a synthetic LOB dataset with labeled OOD samples serving as a testbed for developing models that generalize well to unseen scenarios. In this work, we utilize a multi-agent market simulator to build a synthetic LOB dataset, named DSLOB, with and without market stress scenarios, which allows for the design of controlled distributional shift benchmarking. Using the proposed synthetic dataset, we provide a holistic analysis on the forecasting performance of three different state-of-the-art forecasting methods. Our results reflect the need for increased researcher efforts to develop algorithms with robustness to distributional shifts in high-frequency time series data.
arXiv.org Artificial Intelligence
Nov-17-2022
- Country:
- Asia (0.28)
- Europe (0.28)
- North America > United States (0.28)
- Genre:
- Research Report > New Finding (0.34)
- Industry:
- Banking & Finance > Trading (1.00)
- Technology: