UQ-LOB: חיזוי מחירי סוף-קצר עם ניתוח סבירות

תקציר מקורי באנגליתarXiv:2609.31491v2 Announce Type: new Abstract: 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 e