Get Real: Realism Metrics for Robust Limit Order Book Market Simulations

10 December 2019

Papers citing "Get Real: Realism Metrics for Robust Limit Order Book Market Simulations"

9 / 9 papers shown

Title
LOB-Bench: Benchmarking Generative AI for Finance - an Application to Limit Order Book Data Peer Nagy Sascha Frey Kang Li Bidipta Sarkar Svitlana Vyetrenko Stefan Zohren Ani Calinescu Jakob Foerster 144 1 0 13 Feb 2025
TRADES: Generating Realistic Market Simulations with Diffusion Models Leonardo Berti Bardh Prenkaj Paola Velardi DiffM 153 1 0 31 Jan 2025
MarS: a Financial Market Simulation Engine Powered by Generative Foundation Model Junjie Li Yang Liu Weiqing Liu Shikai Fang Lewen Wang Chang Xu Jiang Bian VGen 75 4 0 04 Sep 2024
Generating Realistic Stock Market Order Streams Junyi Li Xintong Wang Yaoyang Lin Arunesh Sinha Michael P. Wellman GAN AIFin 46 81 0 07 Jun 2020
Explaining Agent-Based Financial Market Simulation David Byrd 30 18 0 25 Sep 2019
Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response Svitlana Vyetrenko Shaojie Xu 37 14 0 05 Jun 2019
ABIDES: Towards High-Fidelity Market Simulation for AI Research David Byrd Maria Hybinette T. Balch 49 67 0 26 Apr 2019
Learning To Simulate Nataniel Ruiz S. Schulter Manmohan Chandraker 172 119 0 05 Oct 2018
Market Making via Reinforcement Learning Thomas Spooner John Fearnley Rahul Savani Andreas Koukorinis 52 114 0 11 Apr 2018