LOB Price Movement Prediction on FI-2010 Full 144 features (test days 8-10)
87.63Macro-F1 (mean)MLPLOB
Evaluation Results
| Method | Links | |||||
|---|---|---|---|---|---|---|
| MLPLOBSource=published, Window size (W)=1282026.06 | 87.63 | 81.64 | 84.88 | 91.39 | 92.62 | |
| FastBiNLOB (H120 taper)Window size (W)=128, Evaluation protocol=five-seed mean and standard error, Hidden width (H)=120, Temporal expansion=10, Reducer=learned taper reducer2026.06 | 86.78 | 82.15 | 81.58 | 90.35 | 93.06 | |
| TLOBSource=published, Window size (W)=1282026.06 | 86.77 | 81.55 | 82.68 | 90.03 | 92.81 | |
| FastBiNLOB (H96 mean)Window size (W)=128, Evaluation protocol=five-seed mean and standard error, Hidden width (H)=96, Blocks=2, Pooling=temporal mean2026.06 | 86.47 | 81.84 | 81.21 | 90.04 | 92.78 |