Paper recorded by Signals 4 on 2026-09-25 in cs.AI. Abstract reproduced from arXiv; link to the original below.
Published 2026-09-25 on arXiv · recorded by Signals 4 on 2026-09-28
Category: cs.AI · 人工智能 · first seen 2026-09-28
Forecasting short-horizon mid-price movements from limit order book (LOB) data is central to algorithmic trading, yet most deep LOB forecasters are point predictors: they output a direction or a displacement, but never indicate which of their forecasts can be trusted. We introduce UQ-LOB, a lightweight, encoder-agnostic uncertainty quantification module that attaches to any pretrained LOB encoder