DeepLOB: Deep Convolutional Neural Networks for Limit Order Books

We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as LSTM modules to capture longer time dependencies. The proposed network outperforms all existing state-of-the-art algorithms on the benchmark LOB dataset [1]. In a more realistic setting, we test our model by using one year market quotes from the London Stock Exchange and the model delivers a remarkably stable out-of-sample prediction accuracy for a variety of instruments. Importantly, our model translates well to instruments which were not part of the training set, indicating the model's ability to extract universal features. In order to better understand these features and to go beyond a "black box" model, we perform a sensitivity analysis to understand the rationale behind the model predictions and reveal the components of LOBs that are most relevant. The ability to extract robust features which translate well to other instruments is an important property of our model which has many other applications.Comment: 12 pages, 9 figure

Configurations and colouring problems in block designs

A Steiner triple system of order v (STS(v)) is called x-chromatic if x is the smallest number of colours needed to avoid monochromatic blocks. Amongst our results on colour class structures we show that every STS (19) is 3- or 4-chromatic, that every 3-chromatic STS(19) has an equitable 3-colouring (meaning that the colours are as uniformly distributed as possible), and that for all admissible v > 25 there exists a 3-chromatic STS(v) which does not admit an equitable 3-colouring. We obtain a formula for the number of independent sets in an STS(v) and use it to show that an STS(21) must contain eight independent points. This leads to a simple proof that every STS(21) is 3- or 4-chromatic. Substantially extending existing tabulations, we provide an enumeration of STS trades of up to 12 blocks, and as an application we show that any pair of STS(15)s must be 3-1-isomorphic. We prove a general theorem that enables us to obtain formulae for the frequencies of occurrence of configurations in triple systems. Some of these are used in our proof that for v > 25 no STS(u) has a 3-existentially closed block intersection graph. Of specific interest in connection with a conjecture of Erdos are 6-sparse and perfect Steiner triple systems, characterized by the avoidance of specific configurations. We describe two direct constructions that produce 6-sparse STS(v)s and we give a recursive construction that preserves 6-sparseness. Also we settle an old question concerning the occurrence of perfect block transitive Steiner triple systems. Finally, we consider Steiner 5(2,4, v) designs that are built from collections of Steiner triple systems. We solve a longstanding problem by constructing such systems with v = 61 (Zoe’s design) and v = 100 (the design of the century)

Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence

We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.Credit rating agencies, Rating changes, Event study, Yields, Liquidity, Trading frequency, Corporate bond market, Commercial paper market.

Introduction : A Swedish-Finnish Viewpoint

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