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...

In this paper, a shorter and more publication focused version of our recent article “A Bottom-Up Approach to the financial Markets” is presented. More specifically we propose a new approach to studying the financial markets using the Bottom-Up approach instead of the traditional Top-Down. We...