Poutré, Cédric; Chételat, Didier; Morales, Manuel - In: The Journal of finance and data science : JFDS 10 (2024), pp. 1-18
Inspired by recent advances in the deep learning literature, this article introduces a novel hybrid anomaly detection framework specifically designed for limit order book (LOB) data. A modified Transformer autoencoder architecture is proposed to learn rich temporal LOB subsequence...