The Limit Order Book Recreation Model (LOBRM): An Extended Analysis

@inproceedings{Shi2021TheLO,
  title={The Limit Order Book Recreation Model (LOBRM): An Extended Analysis},
  author={Zijian Shi and J. Cartlidge},
  booktitle={ECML/PKDD},
  year={2021}
}
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider application. The LOB recreation model (LOBRM) was recently proposed to bridge this gap by synthesizing the LOB from trades and quotes (TAQ) data. However, in the original LOBRM study, there were two limitations: (1) experiments were conducted on a relatively small… Expand

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TLDR
The proposed model can efficiently recreate the LOB with high accuracy using only TAQ data as input and is fine-tuned to enable application to other financial assets of the same class with much lower demand on additional data. Expand
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How much of the structure of a Limit Order Book (LOB) by only observing the bid/ask price dynamics? In this paper we provide a model which, surprisingly, allows us to recover with reasonableExpand
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