arXiv Machine Learning By Zhuohan Wang, Andreea Bacalum, Ollie Olby, Carmine Ventre, Namid Stillman

FlowLOB: Efficient and Controllable Limit Order Book Generation with Flow Matching

Read the original on arXiv Machine Learning →

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.

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