Limit Order Book Simulations: A Review

By KONARK JAIN, NICK FIROOZY, JONATHAN KOCHEMS, PHILIP TRELEAVEN

Published 2024-03-01

Everscope rating

1446.7

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Literature Review. Problem types: Time Series Forecasting, Generative Modeling, Market Making, Algorithmic Execution.

arXiv:2402.17359 · Paper rankings

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