<> <http://www.w3.org/2000/01/rdf-schema#comment> "The repository administrator has not yet configured an RDF license."^^<http://www.w3.org/2001/XMLSchema#string> .
<> <http://xmlns.com/foaf/0.1/primaryTopic> <https://discovery.ucl.ac.uk/id/eprint/10204213> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/AcademicArticle> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Article> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/title> "HLOB–Information persistence and structure in limit order books"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/ontology/bibo/abstract> "We introduce a novel large-scale deep learning model for Limit Order Book mid-price changes forecasting, and we name it ‘HLOB’. This architecture (i) exploits the information encoded by an Information Filtering Network, namely the Triangulated Maximally Filtered Graph, to unveil deeper and non-trivial dependency structures among volume levels; and (ii) guarantees deterministic design choices to handle the complexity of the underlying system by drawing inspiration from the groundbreaking class of Homological Convolutional Neural Networks. We test our model against 9 state-of-the-art deep learning alternatives on 3 real-world Limit Order Book datasets, each including 15 stocks traded on the NASDAQ exchange, and we systematically characterize the scenarios where HLOB outperforms state-of-the-art architectures. Our approach sheds new light on the spatial distribution of information in Limit Order Books and on its degradation over increasing prediction horizons, narrowing the gap between microstructural modeling and deep learning-based forecasting in high-frequency financial markets."^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/date> "2025-03-25" .
<https://discovery.ucl.ac.uk/id/document/1823581> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Document> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/ontology/bibo/volume> "266" .
<https://discovery.ucl.ac.uk/id/org/ext-464ff5f0fac4572c5372d3e7fc978be1> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Organization> .
<https://discovery.ucl.ac.uk/id/org/ext-464ff5f0fac4572c5372d3e7fc978be1> <http://xmlns.com/foaf/0.1/name> "Elsevier BV"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/publisher> <https://discovery.ucl.ac.uk/id/org/ext-464ff5f0fac4572c5372d3e7fc978be1> .
<https://discovery.ucl.ac.uk/id/publication/ext-8747e3d1b2d8f52940378c9ce8d1c892> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Collection> .
<https://discovery.ucl.ac.uk/id/publication/ext-8747e3d1b2d8f52940378c9ce8d1c892> <http://xmlns.com/foaf/0.1/name> "Expert Systems with Applications"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/isPartOf> <https://discovery.ucl.ac.uk/id/publication/ext-8747e3d1b2d8f52940378c9ce8d1c892> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/ontology/bibo/status> <http://purl.org/ontology/bibo/status/published> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-85255b1b6eb6764b287f2b110d228c3b> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/10204213#authors> .
<https://discovery.ucl.ac.uk/id/eprint/10204213#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_1> <https://discovery.ucl.ac.uk/id/person/ext-85255b1b6eb6764b287f2b110d228c3b> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-009cb10e6bd997c32b9fba2278b0d6b8> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/10204213#authors> .
<https://discovery.ucl.ac.uk/id/eprint/10204213#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_2> <https://discovery.ucl.ac.uk/id/person/ext-009cb10e6bd997c32b9fba2278b0d6b8> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/creator> <https://discovery.ucl.ac.uk/id/person/ext-c2c7e33113c2131e0067fcbc3e48ad99> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/ontology/bibo/authorList> <https://discovery.ucl.ac.uk/id/eprint/10204213#authors> .
<https://discovery.ucl.ac.uk/id/eprint/10204213#authors> <http://www.w3.org/1999/02/22-rdf-syntax-ns#_3> <https://discovery.ucl.ac.uk/id/person/ext-c2c7e33113c2131e0067fcbc3e48ad99> .
<https://discovery.ucl.ac.uk/id/person/ext-009cb10e6bd997c32b9fba2278b0d6b8> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> .
<https://discovery.ucl.ac.uk/id/person/ext-009cb10e6bd997c32b9fba2278b0d6b8> <http://xmlns.com/foaf/0.1/givenName> "S"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-009cb10e6bd997c32b9fba2278b0d6b8> <http://xmlns.com/foaf/0.1/familyName> "Bartolucci"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-009cb10e6bd997c32b9fba2278b0d6b8> <http://xmlns.com/foaf/0.1/name> "S Bartolucci"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-c2c7e33113c2131e0067fcbc3e48ad99> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> .
<https://discovery.ucl.ac.uk/id/person/ext-c2c7e33113c2131e0067fcbc3e48ad99> <http://xmlns.com/foaf/0.1/givenName> "T"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-c2c7e33113c2131e0067fcbc3e48ad99> <http://xmlns.com/foaf/0.1/familyName> "Aste"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-c2c7e33113c2131e0067fcbc3e48ad99> <http://xmlns.com/foaf/0.1/name> "T Aste"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-85255b1b6eb6764b287f2b110d228c3b> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Person> .
<https://discovery.ucl.ac.uk/id/person/ext-85255b1b6eb6764b287f2b110d228c3b> <http://xmlns.com/foaf/0.1/givenName> "A"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-85255b1b6eb6764b287f2b110d228c3b> <http://xmlns.com/foaf/0.1/familyName> "Briola"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/person/ext-85255b1b6eb6764b287f2b110d228c3b> <http://xmlns.com/foaf/0.1/name> "A Briola"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/EPrint> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/ArticleEPrint> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/terms/isPartOf> <https://discovery.ucl.ac.uk/id/repository> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823581> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/1823581> <http://www.w3.org/2000/01/rdf-schema#label> "HLOB–Information persistence and structure in limit order books (PDF)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://purl.org/dc/elements/1.1/hasVersion> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasPublished> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823581> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10204213/1/1-s2.0-S0957417424029452-main.pdf> .
<https://discovery.ucl.ac.uk/id/document/1823581> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10204213/1/1-s2.0-S0957417424029452-main.pdf> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/1/1-s2.0-S0957417424029452-main.pdf> <http://www.w3.org/2000/01/rdf-schema#label> "1-s2.0-S0957417424029452-main.pdf"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1823582> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://www.w3.org/2000/01/rdf-schema#label> "HLOB–Information persistence and structure in limit order books (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://eprints.org/relation/islightboxThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10204213/2/lightbox.jpg> .
<https://discovery.ucl.ac.uk/id/document/1823582> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10204213/2/lightbox.jpg> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/2/lightbox.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "lightbox.jpg"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1823583> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://www.w3.org/2000/01/rdf-schema#label> "HLOB–Information persistence and structure in limit order books (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://eprints.org/relation/ispreviewThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10204213/3/preview.jpg> .
<https://discovery.ucl.ac.uk/id/document/1823583> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10204213/3/preview.jpg> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/3/preview.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "preview.jpg"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1823584> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://www.w3.org/2000/01/rdf-schema#label> "HLOB–Information persistence and structure in limit order books (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://eprints.org/relation/ismediumThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10204213/4/medium.jpg> .
<https://discovery.ucl.ac.uk/id/document/1823584> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10204213/4/medium.jpg> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/4/medium.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "medium.jpg"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1823585> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://www.w3.org/2000/01/rdf-schema#label> "HLOB–Information persistence and structure in limit order books (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://eprints.org/relation/issmallThumbnailVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10204213/5/small.jpg> .
<https://discovery.ucl.ac.uk/id/document/1823585> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10204213/5/small.jpg> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/5/small.jpg> <http://www.w3.org/2000/01/rdf-schema#label> "small.jpg"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://eprints.org/ontology/hasDocument> <https://discovery.ucl.ac.uk/id/document/1823586> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://eprints.org/ontology/Document> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://www.w3.org/2000/01/rdf-schema#label> "HLOB–Information persistence and structure in limit order books (Other)"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://eprints.org/relation/isVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://eprints.org/relation/isVolatileVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://eprints.org/relation/isIndexCodesVersionOf> <https://discovery.ucl.ac.uk/id/document/1823581> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://eprints.org/ontology/hasFile> <https://discovery.ucl.ac.uk/id/eprint/10204213/6/indexcodes.txt> .
<https://discovery.ucl.ac.uk/id/document/1823586> <http://purl.org/dc/terms/hasPart> <https://discovery.ucl.ac.uk/id/eprint/10204213/6/indexcodes.txt> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/6/indexcodes.txt> <http://www.w3.org/2000/01/rdf-schema#label> "indexcodes.txt"^^<http://www.w3.org/2001/XMLSchema#string> .
<https://discovery.ucl.ac.uk/id/eprint/10204213> <http://www.w3.org/2000/01/rdf-schema#seeAlso> <https://discovery.ucl.ac.uk/id/eprint/10204213/> .
<https://discovery.ucl.ac.uk/id/eprint/10204213/> <http://purl.org/dc/elements/1.1/title> "HTML Summary of #10204213 \n\nHLOB–Information persistence and structure in limit order books\n\n" .
<https://discovery.ucl.ac.uk/id/eprint/10204213/> <http://purl.org/dc/elements/1.1/format> "text/html" .
<https://discovery.ucl.ac.uk/id/eprint/10204213/> <http://xmlns.com/foaf/0.1/primaryTopic> <https://discovery.ucl.ac.uk/id/eprint/10204213> .