Forecasting Quoted Depth With the Limit Order Book

Daniel Libman, Simi Haber, Mary Schaps

Research output: Contribution to journalArticlepeer-review

1 Scopus citations


Liquidity plays a vital role in the financial markets, affecting a myriad of factors including stock prices, returns, and risk. In the stock market, liquidity is usually measured through the order book, which captures the orders placed by traders to buy and sell stocks at different price points. The introduction of electronic trading systems in recent years made the deeper layers of the order book more accessible to traders and thus of greater interest to researchers. This paper examines the efficacy of leveraging the deeper layers of the order book when forecasting quoted depth—a measure of liquidity—on a per-minute basis. Using Deep Feed Forward Neural Networks, we show that the deeper layers do provide additional information compared to the upper layers alone.

Original languageEnglish
Article number667780
JournalFrontiers in Artificial Intelligence
StatePublished - 11 May 2021

Bibliographical note

Funding Information:
Funding. The authors declare that this study received funding from Google Cloud in the form of computation resources. The funder was not involved in the study design, collection, analysis, interpretation of data, the writing of this article or the decision to submit it for publication.

Publisher Copyright:
© Copyright © 2021 Libman, Haber and Schaps.


  • deep feed forward neural network
  • deep feedforward
  • deep learning
  • deep learning—artificial neural network
  • feed forward
  • feed forward algorithm
  • limit order book
  • quoted depth


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