[PDF][PDF] Agent-based modeling in economics and finance: Past, present, and future

RL Axtell, JD Farmer - Journal of Economic Literature, 2022 - oms-inet.files.svdcdn.com
Agent-based modeling (ABM) is a novel computational methodology for representing the
behavior of individuals in order to study social phenomena. Its use is rapidly growing in …

Limit order book simulation with generative adversarial networks

R Cont, M Cucuringu, J Kochems… - Available at SSRN …, 2023 - papers.ssrn.com
We propose a nonparametric method for simulating the dynamics of a limit order book using
Generative Adversarial Networks (GAN) to learn the conditional distribution of the future …

Neural stochastic agent-based limit order book simulation: A hybrid methodology

Z Shi, J Cartlidge - arxiv preprint arxiv:2303.00080, 2023 - arxiv.org
Modern financial exchanges use an electronic limit order book (LOB) to store bid and ask
orders for a specific financial asset. As the most fine-grained information depicting the …