4 papers · 1 filter
LOB-ID: Evaluating Synthetic Market Data by Inception Distances
Andreea Bacalum, Zhuohan Wang, Ollie Olby +2
Generative models of limit orderbook (LOB) data have advanced rapidly, but their evaluation often focuses on stylised facts and selected market statistics. These measures provide u…
Diffusion Models in Finance: A Survey
Zhuohan Wang, Carmine Ventre
Diffusion generative models have rapidly emerged as powerful tools for modeling complex financial data. Their appeal is both structural and practical: they offer stable likelihood-…
DiffLOB: Diffusion Models for Counterfactual Generation in Limit Order Books
Zhuohan Wang, Carmine Ventre
Modern generative models for limit order books (LOBs) can reproduce realistic market dynamics, but remain fundamentally passive: they either model what typically happens without ac…
Alpha Discovery via Grammar-Guided Learning and Search
Han Yang, Dong Hao, Zhuohan Wang +2
Automatically discovering formulaic alpha factors is a central problem in quantitative finance. Existing methods often ignore syntactic and semantic constraints, relying on exhaust…