A transformer trained on Nasdaq ITCH messages can generate believable order flow, reproducing heavy tails, volatility clustering, and long-range dependence in returns, though with notable quantitative deviations and without public data.
In: Time Series and Statistics, Palgrave Macmil- lan UK
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MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series
A transformer trained on Nasdaq ITCH messages can generate believable order flow, reproducing heavy tails, volatility clustering, and long-range dependence in returns, though with notable quantitative deviations and without public data.