Bridging the Reality Gap in Limit Order Book Simulation

By Patrick Noble, Mathieu Rosenbaum, Saad Souilmi

Published 2026-03-26

Everscope rating

1814.2

Relevance to quantitative trading

10 / 10

Implementation complexity

6 / 10

Reproducibility

4 / 5

About this paper

Methodology: Extended Queue-Reactive Limit Order Book Simulator. Problem types: Algorithmic Execution, Market Making, Risk Management, Generative Modeling, Optimization, Density Estimation.

arXiv:2603.24137 · Paper rankings

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