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 and, in the spirit of attentive neural processes, conditions each forecast on a context set of recently completed windows whose outcomes are already realised. The UQ-regression variant outputs a calibrated Gaussian over the future tick displacement, while the UQ-classification variant outputs a c...
| Authors | Derrick Gilchrist Edward Manoharan, Eljas Linna, Kestutis Baltakys et al. |
|---|---|
| Primary category | cs.AI |
| Published | 25 September 2026 |
| Last updated at source | 28 September 2026 |
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 17 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.