Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units

• URL: http://arxiv.org/abs/2105.10430v1
• Date: Fri, 21 May 2021 16:06:41 GMT
• Title: Multi-Horizon Forecasting for Limit Order Books: Novel Deep Learning Approaches and Hardware Acceleration using Intelligent Processing Units
• Authors: Zihao Zhang, Stefan Zohren
• Abstract summary: We design multi-horizon forecasting models for limit order book (LOB) data by using deep learning techniques. Our methods achieve comparable performance to state-of-art algorithms at short prediction horizons.
• Score: 3.04585143845864
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We design multi-horizon forecasting models for limit order book (LOB) data by using deep learning techniques. Unlike standard structures where a single prediction is made, we adopt encoder-decoder models with sequence-to-sequence and Attention mechanisms, to generate a forecasting path. Our methods achieve comparable performance to state-of-art algorithms at short prediction horizons. Importantly, they outperform when generating predictions over long horizons by leveraging the multi-horizon setup. Given that encoder-decoder models rely on recurrent neural layers, they generally suffer from a slow training process. To remedy this, we experiment with utilising novel hardware, so-called Intelligent Processing Units (IPUs) produced by Graphcore. IPUs are specifically designed for machine intelligence workload with the aim to speed up the computation process. We show that in our setup this leads to significantly faster training times when compared to training models with GPUs.

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