26 citations · 203 across the 41 of their papers we have counts for
4 papers · 1 filter
Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness
Andrea Coletta, Joseph Jerome, Rahul Savani +1
Limit order books are a fundamental and widespread market mechanism. This paper investigates the use of conditional generative models for order book simulation. For developing a tr…
Model-based gym environments for limit order book trading
Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani +1
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution…
Market Making with Scaled Beta Policies
Joseph Jerome, Gregory Palmer, Rahul Savani
This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three ap…
Trading via Selective Classification
Nestoras Chalkidis, Rahul Savani
A binary classifier that tries to predict if the price of an asset will increase or decrease naturally gives rise to a trading strategy that follows the prediction and thus always…