English

DSLOB: A Synthetic Limit Order Book Dataset for Benchmarking Forecasting Algorithms under Distributional Shift

Statistical Finance 2022-11-22 v1 Artificial Intelligence Machine Learning

Abstract

In electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream machine learning tasks (e.g., forecasting). However, dealing with out-of-distribution (OOD) LOB data is challenging since distributional shifts are unlabeled in current publicly available LOB datasets. Therefore, it is critical to build a synthetic LOB dataset with labeled OOD samples serving as a testbed for developing models that generalize well to unseen scenarios. In this work, we utilize a multi-agent market simulator to build a synthetic LOB dataset, named DSLOB, with and without market stress scenarios, which allows for the design of controlled distributional shift benchmarking. Using the proposed synthetic dataset, we provide a holistic analysis on the forecasting performance of three different state-of-the-art forecasting methods. Our results reflect the need for increased researcher efforts to develop algorithms with robustness to distributional shifts in high-frequency time series data.

Keywords

Cite

@article{arxiv.2211.11513,
  title  = {DSLOB: A Synthetic Limit Order Book Dataset for Benchmarking Forecasting Algorithms under Distributional Shift},
  author = {Defu Cao and Yousef El-Laham and Loc Trinh and Svitlana Vyetrenko and Yan Liu},
  journal= {arXiv preprint arXiv:2211.11513},
  year   = {2022}
}

Comments

11 pages, 5 figures, already accepted by NeurIPS 2022 Distribution Shifts Workshop

R2 v1 2026-06-28T06:22:38.231Z