LOB prediction asks whether the visible book predicts the next move — and the honest answer is ‘yes, weakly, at horizons where it’s hard to monetize.’ The literature runs from handcrafted imbalance features through the DeepLOB lineage to transformers and beyond, with evaluation pitfalls (label construction, horizon overlap, fee-blind backtests) recurring in every generation. Our own T-KAN replication review is a live case study in branch four.
flowchart TD ROOT["Limit-Order-Book Prediction Research<br>644 papers"] ROOT --> S0["Imbalance & handcrafted features<br>127 papers"] ROOT --> S1["Deep LOB models<br>49 papers"] ROOT --> S2["Transformers & new architectures<br>17 papers"] ROOT --> S3["Evaluation & pitfalls<br>59 papers"] ROOT --> S4["Price impact & flow dynamics<br>114 papers"]
644 papers mapped · ranked by rigor-weighted score · regenerated automatically as the daily pipeline scores new papers.
Imbalance & handcrafted features
What the book’s shape measures before any learning.
- Returns and Order Flow Imbalances: Intraday Dynamics and Macroeconomic News Effects — Holy Grail, rigor 9.0
- Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation — Holy Grail, rigor 9.0
- The Limits of Complexity: Why Feature Engineering Beats Deep Learning in Investor Flow Prediction — Holy Grail, rigor 9.0
- Trade Execution Flow as the Underlying Source of Market Dynamics — Holy Grail, rigor 8.0
- An Impulse Control Approach to Market Making in a Hawkes LOB Market — Holy Grail, rigor 7.8
- The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility: A Unifying Framework — Holy Grail, rigor 8.5
- …and 121 more in the imbalance & handcrafted features area
Deep LOB models
CNN/LSTM architectures on raw book states — the DeepLOB lineage.
- Latent Continuum of Regimes in Limit Order Book Dynamics — Holy Grail, rigor 9.0
- Temporal Kolmogorov-Arnold Networks (T-KAN) for High-Frequency Limit Order Book Forecasting: Efficiency, Interpretability, and Alpha Decay — Holy Grail, rigor 9.0
- Painting the market: generative diffusion models for financial limit order book simulation and forecasting — Holy Grail, rigor 9.0
- Exact Phase-Type Point Processes for Certified Measurement and Prediction of Event Streams — Holy Grail, rigor 8.0
- Meta-Learning Neural Process for Implied Volatility Surfaces with SABR-induced Priors — Holy Grail, rigor 8.0
- Deep Attentive Survival Analysis in Limit Order Books: Estimating Fill Probabilities with Convolutional-Transformers — Holy Grail, rigor 8.0
- …and 43 more in the deep lob models area
Transformers & new architectures
Attention, KANs, and the current frontier.
- Quantum Adaptive Self-Attention for Financial Rebalancing: An Empirical Study on Automated Market Makers in Decentralized Finance — Holy Grail, rigor 9.0
- IVE: Enhanced Probabilistic Forecasting of Intraday Volume Ratio with Transformers — Holy Grail, rigor 8.5
- TRADES: Generating Realistic Market Simulations with Diffusion Models — Holy Grail, rigor 7.0
- Event History Over Scale: Compact Transformers for Low-Latency Limit Order Book Forecasting — Holy Grail, rigor 8.0
- Cognitive Load and Information Processing in Financial Markets: Theory and Evidence from Disclosure Complexity — Holy Grail, rigor 7.5
- IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making — Holy Grail, rigor 6.0
- …and 11 more in the transformers & new architectures area
Evaluation & pitfalls
Labels, horizons, costs, and why accuracy ≠ P&L.
- Maximizing Battery Storage Profits via High-Frequency Intraday Trading — Holy Grail, rigor 9.0
- Utility-Weighted Forecasting and Calibration for Risk-Adjusted Decisions under Trading Frictions — Holy Grail, rigor 8.5
- Nonparametric Estimation of Self- and Cross-Impact — Holy Grail, rigor 8.5
- Resolution-Aware Perpetual Futures on Binary Prediction Markets: An Empirical Risk-Design Framework Using Polymarket Data — Holy Grail, rigor 9.0
- Limit Order Book Simulation and Trade Evaluation with $K$-Nearest-Neighbor Resampling — Holy Grail, rigor 8.0
- Spurious Predictability in Financial Machine Learning — Holy Grail, rigor 8.0
- …and 53 more in the evaluation & pitfalls area
Price impact & flow dynamics
The mechanism underneath: how flow moves price.
- Prime Match: A Privacy-Preserving Inventory Matching System — Holy Grail, rigor 8.0
- Equity auction dynamics: latent liquidity models with activity acceleration — Holy Grail, rigor 7.5
- Extended State-dependent Hawkes Process for Limit Order Books: Mathematical Foundation and the Reproduction of Volatility Signature Plots — Holy Grail, rigor 7.5
- Signature approach for pricing and hedging path-dependent options with frictions — Holy Grail, rigor 7.0
- Trading Electrons: Predicting DART Spread Spikes in ISO Electricity Markets — Holy Grail, rigor 8.0
- Cross-product Modelling in Continuous Intraday Electricity Markets via Hawkes Processes — Holy Grail, rigor 8.0
- …and 108 more in the price impact & flow dynamics area
Evaluation lens for this field: see the guides index · Full hub: /topics/market-microstructure/