A dual-attention transformer and a simple MLP both outperform prior limit order book trend prediction models across FI-2010, Tesla/Intel, and Bitcoin datasets, with apparent decline in predictability between 2012 and 2015.
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TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data
A dual-attention transformer and a simple MLP both outperform prior limit order book trend prediction models across FI-2010, Tesla/Intel, and Bitcoin datasets, with apparent decline in predictability between 2012 and 2015.