Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network-Reference-Cited by-同舟云学术

Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network

Published:2023-11-25 Issue: Volume: Page:
ISSN:
Container-title:4th ACM International Conference on AI in Finance
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Author:

Nagy Peer¹^ORCID,Frey Sascha²^ORCID,Sapora Silvia³^ORCID,Li Kang⁴^ORCID,Calinescu Anisoara⁵^ORCID,Zohren Stefan⁶^ORCID,Foerster Jakob³^ORCID

Affiliation:

1. Oxford-Man Institute of Quantitative Finance, University of Oxford, United Kingdom

2. Department of Computer Science, University of Oxford, United Kingdom

3. Foerster Lab for AI Research, University of Oxford, United Kingdom

4. Department of Statistics, University of Oxford, United Kingdom

5. Department of Computer Science, University of Oxford, United Kingdom and Alan Turing Institute, United Kingdom

6. Oxford-Man Institute of Quantitative Finance, University of Oxford, United Kingdom and Man Group, United Kingdom

Publisher

ACM

Link

https://dl.acm.org/doi/pdf/10.1145/3604237.3626898

Reference56 articles.

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5. James Bradbury Roy Frostig Peter Hawkins Matthew James Johnson Chris Leary Dougal Maclaurin George Necula Adam Paszke Jake VanderPlas Skye Wanderman-Milne and Qiao Zhang. 2018. JAX: composable transformations of Python+NumPy programs. http://github.com/google/jax James Bradbury Roy Frostig Peter Hawkins Matthew James Johnson Chris Leary Dougal Maclaurin George Necula Adam Paszke Jake VanderPlas Skye Wanderman-Milne and Qiao Zhang. 2018. JAX: composable transformations of Python+NumPy programs. http://github.com/google/jax

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