JAX-LOB: a GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
Financial exchanges across the world use limit order books (LOBs) to process orders and match trades. For research purposes it is important to have large scale efficient simulators of LOB dynamics. LOB simulators have previously been implemented in the context of agent-based models (ABMs), reinforce...
| Main Authors: | , , , , , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Association for Computing Machinery
2023
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