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cs.LG2026
ReLOBGen: Replayable Limit Order Book Message Generation
Junoh Kang, Kiseop Lee, Bohyung Han
We propose ReLOBGen, a method for generating limit order book (LOB) messages that are replayable by construction. Replayability is required for closed-loop market simulation, yet e…
cs.LG2026
Probabilistic Signature Inversion: Learning Conditional Distributions from Truncated Signatures
Junoh Kang, Kiseop Lee, Bohyung Han
The signature transform is a principled feature map for continuous-time paths, valued for its uniqueness and universality. Recovering a path from its truncated signature is, howeve…