Convolutional Attention in Betting Exchange Markets

ArXiv ID: 2510.16008 “View on arXiv”

Authors: Rui Gonçalves, Vitor Miguel Ribeiro, Roman Chertovskih, António Pedro Aguiar

Abstract

This study presents the implementation of a short-term forecasting system for price movements in exchange markets, using market depth data and a systematic procedure to enable a fully automated trading system. The case study focuses on the UK to Win Horse Racing market during the pre-live stage on the world’s leading betting exchange, Betfair. Innovative convolutional attention mechanisms are introduced and applied to multiple recurrent neural networks and bi-dimensional convolutional recurrent neural network layers. Additionally, a novel padding method for convolutional layers is proposed, specifically designed for multivariate time series processing. These innovations are thoroughly detailed, along with their execution process. The proposed architectures follow a standard supervised learning approach, involving model training and subsequent testing on new data, which requires extensive pre-processing and data analysis. The study also presents a complete end-to-end framework for automated feature engineering and market interactions using the developed models in production. The key finding of this research is that all proposed innovations positively impact the performance metrics of the classification task under examination, thereby advancing the current state-of-the-art in convolutional attention mechanisms and padding methods applied to multivariate time series problems.

Keywords: Convolutional Attention Mechanisms, Recurrent Neural Networks (RNN), Market Depth Analysis, Automated Trading System, Multivariate Time Series, Betting/Event Derivatives

Complexity vs Empirical Score

• Math Complexity: 7.5/10
• Empirical Rigor: 8.0/10
• Quadrant: Holy Grail
• Why: The paper introduces novel deep learning architectures (convolutional attention, bi-dimensional CNN-RNN layers) with custom padding methods, indicating advanced mathematical modeling; it is grounded in a comprehensive, end-to-end framework using real-world exchange market data (Betfair) for trading simulation, emphasizing data pre-processing, feature engineering, and production-level deployment.

  flowchart TD
    A["Research Goal: Develop an automated<br>trading system for price movement<br>forecasting in betting exchange markets"] --> B["Data Collection & Pre-processing<br>Market depth data from Betfair<br>(UK Horse Racing, pre-live stage)"]
    B --> C["Key Methodology Innovations<br>1. Novel Multivariate Time Series Padding<br>2. Convolutional Attention Mechanisms"]
    C --> D["Computational Models<br>RNN / Bi-directional Conv-GRU with<br>Convolutional Attention Layers"]
    D --> E["Training & Evaluation<br>Supervised learning on historical data<br>Tested on new unseen data"]
    E --> F["End-to-End Framework<br>Automated feature engineering &<br>Production trading execution"]
    F --> G["Key Findings & Outcomes<br>All innovations improved classification performance<br>Advanced SOTA for time series forecasting"]