46 citations · 124 across the 7 of their papers we have counts for
9 papers
Understanding the Inner Workings of a State-Space Foundation Model for Limit Order Books
Valentin Mohl, Alexandre Bismuth, Aramis Marti-Shahandeh +6
Autoregressive foundation models offer state-of-the-art capabilities to simulate the market by generating the message flow of limit order books (LOBs). Yet, without understanding t…
20,000 Rotation Periods in Nearby Open Clusters and Moving Groups from ZTF and ASAS-SN
Yuxi Lu
Open clusters provide uniquely powerful laboratories for studying stellar evolution because their members share a common age and chemical composition. Stellar rotation of low-mass…
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
Sascha Frey, Kang Li, Peer Nagy +5
Financial exchanges across the world use limit order books (LOBs) to process orders and match trades. For research purposes it is important to have large scale efficient simulators…
Some challenges of calibrating differentiable agent-based models
Arnau Quera-Bofarull, Joel Dyer, Anisoara Calinescu +1
Agent-based models (ABMs) are a promising approach to modelling and reasoning about complex systems, yet their application in practice is impeded by their complexity, discrete natu…
Bayesian calibration of differentiable agent-based models
Arnau Quera-Bofarull, Ayush Chopra, Anisoara Calinescu +2
Agent-based modelling (ABMing) is a powerful and intuitive approach to modelling complex systems; however, the intractability of ABMs' likelihood functions and the non-differentiab…
Supply Chain Digital Twin Framework Design: An Approach of Supply Chain Operations Reference Model and System of Systems
Jie Zhang, Alexandra Brintrup, Anisoara Calinescu +2
Digital twin technology has been regarded as a beneficial approach in supply chain development. Different from traditional digital twin (temporal dynamic), supply chain digital twi…
Digital Twins: State of the Art Theory and Practice, Challenges, and Open Research Questions
Angira Sharma, Edward Kosasih, Jie Zhang +2
Digital Twin was introduced over a decade ago, as an innovative all-encompassing tool, with perceived benefits including real-time monitoring, simulation and forecasting. However,…
How Market Ecology Explains Market Malfunction
Maarten P. Scholl, Anisoara Calinescu, J. Doyne Farmer
Standard approaches to the theory of financial markets are based on equilibrium and efficiency. Here we develop an alternative based on concepts and methods developed by biologists…
Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach
James Paulin, Anisoara Calinescu, Michael Wooldridge
The purpose of this paper is to advance the understanding of the conditions that give rise to flash crash contagion, particularly with respect to overlapping asset portfolio crowdi…