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zcakhaa / DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books

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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Unable to replicate result #7

Open deancorleone00 opened 3 years ago

deancorleone00 commented 3 years ago

Thanks for the awesome work. I can't replicate the result presented in paper (around 75~85 for both accuracy and F1 score depending on the horizon) following your notebook, is there anything I am missing?

The F1 score I get Macro: 0.5184215198116572 Micro: 0.5824873824271622 Weighted: 0.5740045835109294

Accuracy is similar to the output of your notebook (~0.58).

zcakhaa commented 3 years ago

If you check run_train_tensorflow-version1.ipynb, you will see the results that go to 75%. You just need to run more epochs on tensorflow2. The training between tensorflow 1 and 2 seems to be slightly different.

From: deancorleone00 notifications@github.com Sent: Saturday, February 27, 2021 12:25 PM To: zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books@noreply.github.com Cc: Subscribed subscribed@noreply.github.com Subject: [zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books] Unable to replicate result (#7)

Thanks for the awesome work. I can't replicate the result presented in paper (around 75~85 for both accuracy and F1 score depending on the horizon) following your notebook, is there anything I am missing?

The F1 score I get Macro: 0.5184215198116572 Micro: 0.5824873824271622 Weighted: 0.5740045835109294

Accuracy is similar to the output of your notebook (~0.58).

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