UQ-LOB: Uncertainty-Aware Limit Order Book Mid-Price Forecasting
Forecasting short-horizon mid-price movements from limit order book (LOB) data is central to algorithmic trading, yet most deep LOB forecasters are point predictors: they output a direction or a displacement, but never indicate which of their forecasts can be trusted. We introduce UQ-LOB, a lightweight, encoder-agnostic uncertainty quantification module that attaches to any pretrained LOB encoder…
We haven't written up this one. arXiv cs.AI has the full story — the link below goes straight to it.
