This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.
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Why the final accuracy become larger when the prediction horizon increase? #18
I trained the deeplob using custom dataset.
In my dataset, each line is 200ms, with five-level bid/ask.
I try k from 1 to 500. it's very strange the accuracy become larger with the k increase. (accuracy not getting smaller at all)
In the original paper you made , it's opposite.
could you provide some clue to figure out?
ericyue
commented
3 years ago
I trained the deeplob using custom dataset. In my dataset, each line is 200ms, with five-level bid/ask. I try k from 1 to 500. it's very strange the accuracy become larger with the k increase. (accuracy not getting smaller at all) In the original paper you made , it's opposite.
could you provide some clue to figure out?
besides, I found someone else also encounter this problem,and no reason explains. https://github.com/yuxiangalvin/DeepLOB-Model-Implementation-Project#jnj-lob-1
Look forward to your reply