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OrderFlowDiT: Transport-Regularized Diffusion Transformer for Probabilistic Limit-Order Supply Forecasting

Phee, Jung Hun et al.
arXiv (All) · Papers
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machine-learningtrading-and-market-microstructure
We study the conditional distribution of limit-order volume submitted over the next five minutes, given the current order book and recent order flow. The task requires capturing price placement, total volume, and predictive uncertainty jointly. Coordinate-wise diffusion losses do not explicitly acco
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