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

Nagy P, Frey S, Sapora S, Li K, Calinescu A, Zohren S, Foerster J
27 November 2023
Conference paper
Association for Computing Machinery (ACM)
,
pp.
91 - 99
No abstract available
Keywords:

38 Economics

,

3502 Banking, Finance and Investment

,

3801 Applied Economics

,

35 Commerce, Management, Tourism and Services

DOI
10.1145/3604237.3626898