Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network
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Cited by:
- Peer Nagy & Sascha Frey & Kang Li & Bidipta Sarkar & Svitlana Vyetrenko & Stefan Zohren & Ani Calinescu & Jakob Foerster, 2025. "LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data," Papers 2502.09172, arXiv.org.
- Leonardo Berti & Bardh Prenkaj & Paola Velardi, 2025. "TRADES: Generating Realistic Market Simulations with Diffusion Models," Papers 2502.07071, arXiv.org, revised Feb 2025.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-AIN-2023-10-16 (Artificial Intelligence)
- NEP-BIG-2023-10-16 (Big Data)
- NEP-CMP-2023-10-16 (Computational Economics)
- NEP-GER-2023-10-16 (German Papers)
- NEP-MST-2023-10-16 (Market Microstructure)
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