A generative model of a limit order book using recurrent neural networks

DOI10.1080/14697688.2023.2205583zbMath1520.91388OpenAlexW4378070555MaRDI QIDQ6166215

Alexandre Proutiere, Henrik Hult, Unnamed Author, Unnamed Author, Unnamed Author

Publication date: 2 August 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2023.2205583

zbMATH Keywords

recurrent neural networksmachine learninghigh-frequency tradinglimit order bookgenerative modelling

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Cites Work

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• Limit order books
• Price Dynamics in a Markovian Limit Order Market
• A Stochastic Model for Order Book Dynamics
• Modelling intensities of order flows in a limit order book
• Ergodicity and Diffusivity of Markovian Order Book Models: A General Framework
• Modelling high-frequency limit order book dynamics with support vector machines
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models
• Quant GANs: deep generation of financial time series
• Optimal execution strategies in limit order books with general shape functions
• Deep learning for limit order books
• Price signatures
• Deep hedging
• DeepLOB: Deep Convolutional Neural Networks for Limit Order Books
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• The Kolmogorov-Smirnov Test for Goodness of Fit

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