JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading-Reference-Cited by-同舟云学术

JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading

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

Frey Sascha Yves¹^ORCID,Li Kang²^ORCID,Nagy Peer³^ORCID,Sapora Silvia⁴^ORCID,Lu Christopher⁴^ORCID,Zohren Stefan⁵^ORCID,Foerster Jakob⁴^ORCID,Calinescu Anisoara¹^ORCID

Affiliation:

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

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

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

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

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

Funder

UKRI AI World Leading Researcher Fellowship

TAILOR

Hasler Foundation

Publisher

ACM

Link

https://dl.acm.org/doi/pdf/10.1145/3604237.3626880

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