JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading

no code implementations • 25 Aug 2023 • Sascha Frey, Kang Li, Peer Nagy, Silvia Sapora, Chris Lu, Stefan Zohren, Jakob Foerster, Anisoara Calinescu

Financial exchanges across the world use limit order books (LOBs) to process orders and match trades.

reinforcement-learning Reinforcement Learning (RL)

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

no code implementations • 23 Aug 2023 • Peer Nagy, Sascha Frey, Silvia Sapora, Kang Li, Anisoara Calinescu, Stefan Zohren, Jakob Foerster

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.