arXiv q-fin· Arshia Abolghasemi, Seyed Reza Tavakoli, Parsa Naderi, Nazanin Mirzaei, Behrad Jahani, Saba Yousefzadeh, Tahereh Javaheri, Mohammad Hosein Rohban, Gholamali Aminian, Ali Habibnia·· 5 hr agoAI Score54
StochLOB: Robust Limit Order Book Trend Prediction via Heavy-Tailed Score Matching
StochLOB: Heavy-Tailed Score Matching for Robust Limit Order Book Trend Prediction
AI summary
An arXiv paper proposes the STOCHLOB training-specific score matching framework, which replaces Gaussian Brownian noise in diffusion forward perturbation with jump Lévy noise from compound Poisson variance mixtures and truncated α-stable noise from positive stable Gaussian scale mixtures, while still using a deterministic predictor during inference.
Source:arXiv q-fin · arxiv.org
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