arXiv:2610. 28753v1 Announce Type: cross Abstract: Autoregressive foundation models offer state-of-the-art capabilities to simulate the market by generating the message flow of limit order books (LOBs).
arXiv:2610.20104v1 Announce Type: new Abstract: Autoregressive transformers trained on limit order book (LOB) message streams are increasingly proposed as foundation models for market microstructure....
The paper introduces a Causal Market Simulator using a continuous‑time causal prior‑data fitted network (PFN) to estimate market impact, addressing bias from informational flow that traditional models overlook. On a synthetic market prior with adjustable confounding, the PFN matches an unbiased oracle while a naive estimator overestimates by up to 68%. In zero‑shot tests on real limit‑order books and equity data, the model’s intervention responses align with ground‑truth scales and improve correlation with measured impact when a recurrent state‑space variant is used.
arXiv:2608. 19227v1 Announce Type: cross Abstract: Market microstructure simulation aims to model how liquidity, prices, and order flow evolve in electronic financial markets.
arXiv:2608. 13096v1 Announce Type: new Abstract: Limit order book (LOB) simulators are most useful to practitioners when they combine realistic market dynamics, computationally efficient sampling, controllable scenario generation, and the ability to generalize beyond the instruments seen during training---properties that existing agent-based and deep generative simulators provide only partially.
arXiv:2609.35867v1 Announce Type: new Abstract: We propose ReLOBGen, a method for generating limit order book (LOB) messages that are replayable by construction. Replayability is required for closed-...
The paper demonstrates that deep limit order book forecasting models can be repurposed to quantify scenario-conditioned market impact without retraining. By injecting counterfactual order‑book messages into a trained Transformer forecaster, the authors compare predictive distributions before and after the injection, defining a short‑horizon model‑implied market impact. The approach achieves a Spearman correlation of 0.99 and 97.2% directional agreement with historical outcomes for non‑neutral scenarios, and captures incremental sequence‑dependent variation beyond scenario identity and pre‑event forecasts.
arXiv:2606. 03184v1 Announce Type: cross Abstract: Financial forecasting is difficult due to low signal-to-noise ratios, latent factors, heavy tails, regime shifts, and jumps.
arXiv:2407. 18957v5 Announce Type: replace-cross Abstract: Can AI Agents simulate real-world trading environments to investigate the impact of external factors on stock trading activities (e.
arXiv:2607. 10810v1 Announce Type: cross Abstract: Deep generative models are increasingly used as simulators for downstream decision-making under data scarcity, but in risk-sensitive applications their usefulness depends on rare adverse scenarios rather than typical samples.
arXiv:2509. 13374v2 Announce Type: replace-cross Abstract: We develop and audit a history-aware financial path generator based on Denoising Levy Probabilistic Models (DLPMs) for conditional equity-index path generation.
Deep Limit Order Book forecasting models capture nonlinear market dynamics, but their ability to quantify the effects of counterfactual order book messages has not been systematically validated. We in...