Liquidity takers behavior representation through a contrastive learning approach

2023/06/09 by Ruihua Ruan, Ruan, Ruihua, Emmanuel Bacry +3 · 1 citation
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Computer and information sciences #FOS: Economics and business #Financial Markets and Investment Strategies #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Statistical Finance (q-fin.ST) #Stock Market Forecasting Methods

paper · pdf · doi:10.48550/arxiv.2306.05987

openalex publication_date 2023/06/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01

Abstract

Thanks to the access to the labeled orders on the CAC40 data from Euronext, we are able to analyze agents' behaviors in the market based on their placed orders. In this study, we construct a self-supervised learning model using triplet loss to effectively learn the representation of agent market orders. By acquiring this learned representation, various downstream tasks become feasible. In this work, we utilize the K-means clustering algorithm on the learned representation vectors of agent orders to identify distinct behavior types within each cluster.

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