Related papers: TABL-ABM: A Hybrid Framework for Synthetic LOB Gen…

Current macroeconomic models with agent heterogeneity can be broadly divided into two main groups. Heterogeneous-agent general equilibrium (GE) models, such as those based on Heterogeneous Agent New Keynesian (HANK) or Krusell-Smith (KS)…

Large Language Models (LLMs) offer a flexible means to generate synthetic tabular data, yet existing approaches often fail to preserve key causal parameters such as the average treatment effect (ATE). In this technical exploration, we first…

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a…

Modelling the complexity and diversity of human activity scheduling behaviour is inherently challenging. We demonstrate a deep conditional-generative machine learning approach for the modelling of realistic activity schedules depending on…

The ability to construct a realistic simulator of financial exchanges, including reproducing the dynamics of the limit order book, can give insight into many counterfactual scenarios, such as a flash crash, a margin call, or changes in…

In electronic trading markets, limit order books (LOBs) provide information about pending buy/sell orders at various price levels for a given security. Recently, there has been a growing interest in using LOB data for resolving downstream…

Diffusion model has become a main paradigm for synthetic data generation in many subfields of modern machine learning, including computer vision, language model, or speech synthesis. In this paper, we leverage the power of diffusion model…

We introduce a novel hybrid approach that augments Agent-Based Models (ABMs) with behaviors generated by Large Language Models (LLMs) to simulate human trading interactions. We call our model TraderTalk. Leveraging LLMs trained on extensive…

Multi-agent market simulators usually require careful calibration to emulate real markets, which includes the number and the type of agents. Poorly calibrated simulators can lead to misleading conclusions, potentially causing severe loss…

Deep generative models can help with data scarcity and privacy by producing synthetic training data, but they struggle in low-data, imbalanced tabular settings to fully learn the complex data distribution. We argue that striving for the…

While most generative models show achievements in image data generation, few are developed for tabular data generation. Recently, due to success of large language models (LLM) in diverse tasks, they have also been used for tabular data…

We present ABIDES-MARL, a framework that combines a new multi-agent reinforcement learning (MARL) methodology with a new realistic limit-order-book (LOB) simulation system to study equilibrium behavior in complex financial market games. The…

Agent-based models (ABMs) have shown promise for modelling various real world phenomena incompatible with traditional equilibrium analysis. However, a critical concern is the manual definition of behavioural rules in ABMs. Recent…

We develop a large-scale deep learning model to predict price movements from limit order book (LOB) data of cash equities. The architecture utilises convolutional filters to capture the spatial structure of the limit order books as well as…

Algorithmic trading relies on extracting meaningful signals from diverse financial data sources, including candlestick charts, order statistics on put and canceled orders, traded volume data, limit order books, and news flow. While deep…

The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…

Deep learning (DL) models require extensive data to achieve strong performance and generalization. Deep generative models (DGMs) offer a solution by synthesizing data. Yet current approaches for tabular data often fail to preserve feature…

Agent-based models, particularly those applied to financial markets, demonstrate the ability to produce realistic, simulated system dynamics, comparable to those observed in empirical investigations. Despite this, they remain fairly…

Developing a generative model of realistic order flow in financial markets is a challenging open problem, with numerous applications for market participants. Addressing this, we propose the first end-to-end autoregressive generative model…

Large language models (LLMs) are increasingly deployed as agents, expected to decompose goals, invoke tools, and verify results in dynamic environments. Realizing these capabilities requires access to agentic data-structured interaction…