Mathematical Finance Seminar
Nick Westray (Citadelle)

Deep Order Flow Imbalance : Extracting Alpha From the Limit Order Book

In this talk I will describe how deep learning methods are being applied to forecast stock returns from high frequency order book states. I will review the literature in this area and describe a working paper where we evaluate return forecasts for several deep learning models for a large subset of symbols traded on the Nasdaq exchange. We investigate whether transformation of the order book states is necessary and we relate the performance of deep learning models for a symbol to its microstructural properties. This is joint work with Petter Kolm (NYU), Jeremy Turiel (UCL) and Antonio Briola (UCL).