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