The Inference-Compute Frontier for Limit Order Book Prediction

원문 초록

We identify an empirical inference-compute frontier for limit order book prediction on FI-2010. A power law fitted to low- and mid-compute models extrapolates to an excluded MLPLOB-style mixer family whose work is $56$--$2{,}515$ times the largest budget in the corresponding fit. Across nine folds and five horizons, pooled $R^2$ is $0.934$ on the realized target frontier, with 59\% lower RMSE than constant endpoint extrapolation, and $0.731$ on all excluded operating points. Measured latency gives a weaker relationship and reorders model families. We therefore design FastBiNLOB to pack computation into dense temporal and feature mixing. H120 exceeds the published state-of-the-art macro-F1 on two of four horizons in every one of five seeds. Under our CPU/MPS protocol, H96 reduces median latency by 23.6\% relative to the W128 MLPLOB reference, and H120 by 60.2\% relative to a TLOB-inspired dual-axis attention reference.