46 citations · 124 across the 7 of their papers we have counts for
3 papers · 1 filter
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…
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…
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…