Learning to simulate realistic limit order book markets from data as a
World Agent

Learning to simulate realistic limit order book markets from data as a World Agent

26 September 2022

Svitlana Vyetrenko

Papers citing "Learning to simulate realistic limit order book markets from data as a World Agent"

11 / 11 papers shown

Title
From Deep Learning to LLMs: A survey of AI in Quantitative Investment Bokai Cao Saizhuo Wang Xinyi Lin Xiaojun Wu Haohan Zhang L. Ni Jian Guo AIFin 59 1 0 27 Mar 2025
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 89 1 0 13 Feb 2025
TLOB: A Novel Transformer Model with Dual Attention for Price Trend Prediction with Limit Order Book Data Leonardo Berti Gjergji Kasneci AI4TS 44 0 0 12 Feb 2025
TRADES: Generating Realistic Market Simulations with Diffusion Models Leonardo Berti Bardh Prenkaj Paola Velardi DiffM 106 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 46 4 0 04 Sep 2024
Simulating the economic impact of rationality through reinforcement learning and agent-based modelling Simone Brusatin Tommaso Padoan Andrea Coletta Domenico Delli Gatti Aldo Glielmo AI4CE 34 3 0 03 May 2024
Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behavior Zhiyuan Yao Zheng Li Matthew Thomas Ionuţ Florescu 51 2 0 28 Mar 2024
LOB-Based Deep Learning Models for Stock Price Trend Prediction: A Benchmark Study Matteo Prata Giuseppe Masi Leonardo Berti Viviana Arrigoni Andrea Coletta Irene Cannistraci Svitlana Vyetrenko Paola Velardi N. Bartolini 29 8 0 05 Jul 2023
Non-adversarial training of Neural SDEs with signature kernel scores Zacharia Issa Blanka Horvath M. Lemercier C. Salvi AI4TS 43 24 0 25 May 2023
K-SHAP: Policy Clustering Algorithm for Anonymous Multi-Agent State-Action Pairs Andrea Coletta Svitlana Vyetrenko T. Balch OffRL 21 8 0 23 Feb 2023
Limited or Biased: Modeling Sub-Rational Human Investors in Financial Markets Penghang Liu Kshama Dwarakanath Svitlana Vyetrenko Tucker Balch AIFin 34 5 0 16 Oct 2022