Limit Order Book Simulations: A Review
By KONARK JAIN, NICK FIROOZY, JONATHAN KOCHEMS, PHILIP TRELEAVEN
Rating
1447
Battle Count: 15
Relevance
9/10
Highly relevant for understanding and simulating market microstructure, which is crucial for developing and testing quantitative trading strategies.
Implementation Complexity
7/10
Implementation complexity varies across different models, with some requiring sophisticated mathematical and computational skills.
Reproducibility
3/5
The paper provides a comprehensive review of various models, but specific implementation details may vary across different studies.
About this paper
Methodology: Literature Review. Problem types: Time Series Forecasting, Generative Modeling, Market Making, Algorithmic Execution.
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