Dynamic Calibration of Order Flow Models with Generative Adversarial Networks

Author:

Prenzel Felix1,Cont Rama2,Cucuringu Mihai3,Kochems Jonathan4

Affiliation:

1. University of Oxford, United Kingdom and JP Morgan, United Kingdom

2. University of Oxford, United Kingom

3. University of Oxford, United Kingdom and The Alan Turing Institute, United Kingdom

4. JP Morgan, United Kingdom

Funder

Engineering and Physical Sciences Research Council

Publisher

ACM

Reference36 articles.

1. Frédéric Abergel , Marouane Anane , Anirban Chakraborti , Aymen Jedidi , and Ioane Muni Toke . 2016. Limit order books . Cambridge University Press . Frédéric Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, and Ioane Muni Toke. 2016. Limit order books. Cambridge University Press.

2. A MATHEMATICAL APPROACH TO ORDER BOOK MODELING

3. Long-Time Behavior of a Hawkes Process--Based Limit Order Book

4. Martin Arjovsky Soumith Chintala and Léon Bottou. 2017. Wasserstein GAN. arXiv preprint arXiv:1701.07875(2017). Martin Arjovsky Soumith Chintala and Léon Bottou. 2017. Wasserstein GAN. arXiv preprint arXiv:1701.07875(2017).

5. Jean-Philippe Bouchaud , J Doyne Farmer , and Fabrizio Lillo . 2009. How markets slowly digest changes in supply and demand . In Handbook of financial markets: dynamics and evolution . Elsevier , 57–160. Jean-Philippe Bouchaud, J Doyne Farmer, and Fabrizio Lillo. 2009. How markets slowly digest changes in supply and demand. In Handbook of financial markets: dynamics and evolution. Elsevier, 57–160.

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