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JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
Financial exchanges across the world use limit order books (LOBs) to process orders and match trades.
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
Overall, our results invite the use and extension of the model in the direction of autoregressive large financial models for the generation of high-frequency financial data and we commit to open-sourcing our code to facilitate future research.
Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets
We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders.
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