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StochLOB: Heavy-Tailed Score Matching for Robust Limit Order Book Trend Prediction
Score-based diffusion methods usually perturb data with Brownian Gaussian noise, corresponding to a light-tailed forward stochastic differential equation (SDE). For market time series this SDE can be a poor abstraction: limit order book (LOB) order flow is heavy-tailed, bursty, and occasionally jump
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