A Token-Level Autoregressive Generative Model of Message Flow Using Deep State Space Network: Exploring Generative AI for End-to-End Limit Order Book Modelling (arXiv:2309.00638v1 [q-fin.TR])

A Token-Level Autoregressive Generative Model of Message Flow Using Deep State Space Network: Exploring Generative AI for End-to-End Limit Order Book Modelling (arXiv:2309.00638v1 [q-fin.TR])

Developing a realistic generative model for order flow in financial markets is a complex problem with various potential applications for market participants. In this study, we propose an innovative autoregressive generative model that can produce tokenized limit order...