English(EN) OrderFlowDiT: Transport-Regularized Diffusion Transformer for Probabilistic Limit-Order Supply Forecasting

新的扩散 Transformer 模型增强限价委托供应预测

作者 PulseAugur 编辑部 · [1 个来源] · 2026-10-19 04:00

研究人员开发了 OrderFlowDiT，这是一种用于预测限价委托供应的条件扩散 Transformer。该模型解决了同时捕捉价格委托、总交易量和预测不确定性的挑战。通过引入不平衡最优传输 (UOT) 辅助损失，OrderFlowDiT 与标准扩散损失相比，显著提高了预测订单簿动态的准确性。 AI

影响为金融订单簿预测的生成模型引入了一种新颖的方法，有可能改进算法交易策略。

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arXiv cs.AI TIER_1 English(EN) · Jung Hun Phee, Tucker Balch · 2026-10-19 04:00

OrderFlowDiT：用于概率限价订单供给预测的传输正则化扩散 Transformer

arXiv:2610.22727v1 Announce Type: cross Abstract: 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 uncert…