Author

Jun-Yu Chen

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Preprint Oct 2026

Probabilistic Limit Order Book Forecasting with Conditional Diffusion Models

Modeling limit order book (LOB) dynamics is central to market forecasting and execution-strategy evaluation. While diffusion models achieve strong empirical performance, existing LOB snapshot models typically lack a learned recurrent encoder and formal statistical guarantees. We introduce LOBGrad, a conditional DDPM fr...

Jun-Yu Chen, Franklin Liu, Mo-Shu Xu et al. · 0 citations