5 papers
EvoMarket: A High-Fidelity and Scalable Financial Market Simulator
Muyao Zhong, Zhenhua Yang, Yuxiang Liu +2
High-fidelity, scalable market simulation is a key instrument for mechanism evaluation, stress testing, and counterfactual policy analysis. Yet existing simulators rarely achieve \…
Calibrating Agent-Based Financial Markets Simulators with Pretrainable Automatic Posterior Transformation-Based Surrogates
Boquan Jiang, Zhenhua Yang, Chenkai Wang +3
Calibrating Agent-Based Models (ABMs) is an important optimization problem for simulating the complex social systems, where the goal is to identify the optimal parameter of a given…
Representation Learning of Limit Order Book: A Comprehensive Study and Benchmarking
Muyao Zhong, Yushi Lin, Peng Yang
The Limit Order Book (LOB), the mostly fundamental data of the financial market, provides a fine-grained view of market dynamics while poses significant challenges in dealing with…
SimLOB: Learning Representations of Limited Order Book for Financial Market Simulation
Yuanzhe Li, Yue Wu, Muyao Zhong +2
Financial market simulation (FMS) serves as a promising tool for understanding market anomalies and the underlying trading behaviors. To ensure high-fidelity simulations, it is cru…
Pointer Networks Trained Better via Evolutionary Algorithms
Muyao Zhong, Shengcai Liu, Bingdong Li +3
Pointer Network (PtrNet) is a specific neural network for solving Combinatorial Optimization Problems (COPs). While PtrNets offer real-time feed-forward inference for complex COPs…