HLOB -- Information Persistence and Structure in Limit Order Books

Their complexity stems from two main factors: (i) the interaction of a large number of agents pursuing heterogeneous goals at different time scales through the implementation of trading strategies designed to leverage asymmetric information; (ii) the emergence of selforganizing collective behaviors that do not result from the existence of any central controller and are therefore difficult to anticipate. The concurrence of these aspects contributes to the sporadic and limited-in-time persistence of inefficiencies that make the trading practice profitable. The analysis of existing inefficiencies and the forecasting of new ones is made possible by the mathematical and statistical modeling of the time series reflecting the financial market's behavior. The granularity of these time series widely varies depending on the goal of the analysis, and, in the high-frequency case (i.e., the scenario we are mainly interested in), it can be order-driven with a resolution up to the nanosecond [31]. Indeed, the majority of modern financial exchanges store order-level updates in data structures known as Limit Order Books (LOBs).