JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
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- Peter Belcak & Jan-Peter Calliess & Stefan Zohren, 2020. "Fast Agent-Based Simulation Framework with Applications to Reinforcement Learning and the Study of Trading Latency Effects," Papers 2008.07871, arXiv.org, revised Sep 2022.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2023-09-25 (Computational Economics)
- NEP-MST-2023-09-25 (Market Microstructure)
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