What train goes from Hong Kong Convention Center to Louhu Station in Shenzhen?

No trains operate from the convention center to the Luohu Station.
You can take the mtr train to reach Luohu from the convention center. From the center, you can walk to reach Wan Chai Station to take the Islan Line to reach Admiralty Station where you can change to Tsuen Wan Line to reach Tsim Sha Tsui Station. Then you can walk to reach Tsim Sha Tsui East Station where you can take the West Rail Line to reach Hung Hom Station. At Hung Hom Station, you can take the East Rail Line to reach Lo Wu Station. Pass the border, you can reach Luohu, SZ.