Analyzing the Importance of Broker Identities in the Limit Order Book Through Deep Learning.

Limit order books (LOBs) have been widely adopted as a trading mechanism in global securities markets, and the degree of LOB transparency is one of the most studied topics in market design. In the past, this issue was mainly researched through the comparison of LOB transparency in a market before and after a policy change, although such instances were rare and occurred decades ago. This article analyzes the importance of broker identities (IDs) in the LOB with respect to price movement predictability by proposing a different approach.