Deep Learning on Limit Order Book Data

At a one-event horizon, 92 percent of mid-price labels are exactly no-change, so a model that always predicts flat scores 92 percent accuracy. That single number explains most of the gap between published order book results and what happens on a trading desk. This path covers what the book actually contains, what the architectures assume, why results fail to replicate, and the cost hurdle that decides whether a real edge is worth anything.