A deep queue-reactive model with cross-level state and categorical order sizes reproduces Bund futures stylized facts including square-root market impact and queue correlations.
Cont , title Statistical modeling of high-frequency financial data , journal IEEE Signal Processing Magazine volume 28 ( year 2011 ) pages 16--25
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Deep Learning Meets Queue-Reactive: A Framework for Realistic Limit Order Book Simulation
A deep queue-reactive model with cross-level state and categorical order sizes reproduces Bund futures stylized facts including square-root market impact and queue correlations.