arXiv q-fin· George Nigmatulin, Valentin Mohl, Sascha Frey, Kang Li, Aramis Marti-Shahandeh, Mihai Cucuringu, Anisoara Calinescu, Jakob Foerster, Stefan Zohren·· 5 hr agoAI Score61
LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models
LOB-Impact Benchmark: Emergent Market Impact in Generative Limit Order Book Models
AI summary
This paper, accepted by ICAIF '26, proposes the LOB-Impact Benchmark to evaluate the realism of market impact in generative limit order book models.
Source:arXiv q-fin · arxiv.org
Academic papers#Papers / Research#Machine Learning#High-Frequency / Market Microstructure#Backtesting#arXiv