Nagy, Peer

1. Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network
   2023/08/23 by Peer Nagy, Sascha Frey, Nagy, Peer +11 · 9 citations
   Economics, Econometrics and Finance · Decision Sciences · #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Complex Systems and Time Series Analysis
2. JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
   2023/08/25 by Sascha Frey, Kang Li, Frey, Sascha +13 · 4 citations
   Decision Sciences · Economics, Econometrics and Finance · #Artificial Intelligence (cs.AI) #Auction Theory and Applications #Complex Systems and Time Series Analysis #Computational Engineering #FOS: Computer and information sciences #FOS: Economics and business #Finance #Machine Learning (cs.LG) #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR) #and Science (cs.CE)
3. LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Data
   2025/02/13 by Peer Nagy, S. Frey, Nagy, Peer +12 · 3 citations
   Decision Sciences · #Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #Finance #Machine Learning (cs.LG) #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR) #and Science (cs.CE)