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.
Kirilenko , author A
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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.