Lob-based deep learning models for stock price trend prediction: a benchmark study
Matteo Prata,
Giuseppe Masi,
Leonardo Berti
et al.
Abstract:The recent advancements in Deep Learning (DL) research have notably influenced the finance sector. We examine the robustness and generalizability of fifteen state-of-the-art DL models focusing on Stock Price Trend Prediction (SPTP) based on Limit Order Book (LOB) data. To carry out this study, we developed LOBCAST, an open-source framework that incorporates data preprocessing, DL model training, evaluation, and profit analysis. Our extensive experiments reveal that all models exhibit a significant performance … Show more
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