A benchmark for evaluating generative models of limit order book data, with results showing an autoregressive state-space model beats GAN, RWKV, and parametric baselines.
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LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data
A benchmark for evaluating generative models of limit order book data, with results showing an autoregressive state-space model beats GAN, RWKV, and parametric baselines.