Deep Temporal Logistic Bag-of-features for Forecasting High Frequency Limit Order Book Time Series

Forecasting time series has several applications in various domains. The vast amount of data that are available nowadays provide the opportunity to use powerful deep learning approaches, but at the same time pose significant challenges of high-dimensionality, velocity and variety. In this paper, a novel logistic formulation of the well-known Bag-of-Features model is proposed to tackle these challenges. The proposed method is combined with deep convolutional feature extractors and is capable of accurately modeling the temporal behavior of time series, forming powerful forecasting models that can be trained in an end-to-end fashion. The proposed method was extensively evaluated using a large-scale financial time series dataset, that consists of more than 4 million limit orders, outperforming other competitive methods.