Liquidity takers behavior representation through a contrastive learning approach

Deep learning has achieved great success in recent years, mainly due to advances in machine learning algorithms and computer hardware. As a result, it has become an indispensable tool in a wide range of fields, both in research and in practical applications. Specifically, in finance, deep learning has been applied extensively to predict stock prices movements using limit order book data. This technique is particularly effective in handling complex data which statistical models often struggle to manage. Notable works in the recent literature include [34, 26, 25, 33]. In particular, contrastive learning (CL) is a powerful technique in deep learning that has led to significant advances in representation learning.