2 papers
q-fin.TR2025
Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation
Hamza Bodor, Laurent Carlier
The Queue-Reactive model introduced by Huang et al. (2015) has become a standard tool for limit order book modeling, widely adopted by both researchers and practitioners for its si…
q-fin.TR2024
A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes
Hamza Bodor, Laurent Carlier
In this article, we delve into the applications and extensions of the queue-reactive model for the simulation of limit order books. Our approach emphasizes the importance of order…