The reason why they get good and enticing but unactionable predictions, is that they assume that they can trade instantaneously at the quoted price. They are ne

The reason why they get good and enticing but unactionable predictions, is that they assume that they can trade instantaneously at the quoted price. They are neglecting the time their order would get to the matching engine, by which time the opportunity would be gone often enough to make their trading strategy unprofitable. In fact the authors of the original paper seem completely clueless about this point: "For example, since the prediction time of AAPL, 0.0311ms, is less than 0.0612ms, which is the time difference between the upward spread crossing events from the Row k −1 to Row k + 4 in Table 1, the model could in principle perform fast enough to influence corresponding trading decisions" As if their order could reach the matching engine in 30 us...