arXiv subjects

Derrick Gilchrist Edward Manoharan

Publications and source records attributed to Derrick Gilchrist Edward Manoharan.

2 recordsLinked to original sources

arXiv2026

UQ-LOB: Uncertainty-Aware Limit Order Book Mid-Price Forecasting

Forecasting short-horizon mid-price movements from limit order book (LOB) data is central to algorithmic trading, yet most deep LOB forecasters are point predictors: they output a direction or a displacement, but never indicate which of their forecasts can be trusted. We introduce UQ-LOB, a lightweight, encoder-agnostic uncertainty quantification module that attaches to any pretrained LOB encoder and, in the spirit of attentive neural processes, conditions each forecast on a context set of recently completed windows whose outcomes are already realised. The UQ-regression variant outputs a calibrated Gaussian over the future tick displacement, while the UQ-classification variant outputs a categorical distribution over down/up/stationary. Both expose a scalar confidence (predicted signal-to-noise ratio or class probability) that supports selective prediction. On 5.2 billion LOB events across seven cryptocurrency assets and horizons of 5, 10 and 15 seconds, UQ-regression attains near-nominal 68% interval coverage, and restricting to the most confident 10% of predictions raises directional macro F1 by 0.11-0.15 for UQ-regression and 0.05-0.11 for UQ-classification, at every horizon. On large, economically meaningful moves, the tightest confidence tier reaches a directional F1 of 0.88 (down) and 0.83 (up) at the 5-second horizon.

cs.AI↗

arXiv2026

Learning hidden cascades via classification

The spreading dynamics in social networks are often studied under the assumption that individuals' statuses, whether informed or infected, are fully observable. However, in many real-world situations, such statuses remain unobservable, which is crucial for determining an individual's potential to further spread the infection. While final statuses are hidden, intermediate indicators such as symptoms of infection are observable and provide useful representations of the underlying diffusion process. We propose a partial observability-aware Machine Learning framework to learn the characteristics of the spreading model. We term the method Distribution Classification, which utilizes the power of classifiers to infer the underlying transmission dynamics. Through extensive benchmarking against Approximate Bayesian Computation and GNN-based baselines, our framework consistently outperforms these state-of-the-art methods, delivering accurate parameter estimates across diverse diffusion settings while scaling efficiently to large networks. We validate the method on synthetic networks and extend the study to a real-world insider trading network, demonstrating its effectiveness in analyzing spreading phenomena where direct observation of individual statuses is not possible.

cs.SI↗