Flow matching with a tick-relative LOB representation and transformer backbone generates realistic, controllable, and cross-instrument limit order book states at low sampling cost on HKEX data.
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FlowLOB: Efficient and Controllable Limit Order Book Generation with Flow Matching
Flow matching with a tick-relative LOB representation and transformer backbone generates realistic, controllable, and cross-instrument limit order book states at low sampling cost on HKEX data.