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Tag: order-book

pythonpaperrlorder-bookafter-work

Introducing JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading for after-work quants

Frey, Li, Nagy, Sapora, Lu, Zohren, Foerster and Calinescu (2023) implement JAX-LOB: thousands of fixed-size LOBs in parallel on GPU, wrapped in gymnax for recurrent PPO execution. ~7× training vs CPU LOB. Plain-language intro. Not investment advice.

pythonpaperrlorder-bookafter-work

Introducing JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading for after-work quants

pythonpapermicrostructureorder-bookafter-work

Introducing A Mathematical Approach to Order Book Modeling for after-work quants

Abergel and Jedidi (2010) treat the limit order book as a Markov chain with Poisson arrivals, proving stationarity ideas and Brownian-like midprice scaling. Plain-language intro. Not investment advice.