arXiv q-fin· Junyu Chen, Franklin Liu, Moshu Xu, Lijian Yang·· 13 hr agoAI Score46
Probabilistic Order Book Forecasting with Conditional Diffusion Models
Probabilistic Limit Order Book Forecasting with Conditional Diffusion Models
AI summary
This study introduces LOBGrad, a conditional DDPM framework for probabilistic order book forecasting. The framework combines an autoregressive RNN encoder with a diffusion-based generator, and establishes an excess-risk oracle inequality for the single-step DDPM noise prediction objective under exponential mixing and regularity assumptions.
Source:arXiv q-fin · arxiv.org
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