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Sascha Frey
ORCID
Publication Activity (10 Years)
Years Active: 2023-2023
Publications (10 Years): 3
Top Topics
State Space
Expectation Maximization
Random Fields
Em Algorithm
Top Venues
CoRR
ICAIF
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Publications
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Peer Nagy
,
Sascha Frey
,
Silvia Sapora
,
Kang Li
,
Anisoara Calinescu
,
Stefan Zohren
,
Jakob N. Foerster
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.
CoRR
(2023)
Sascha Frey
,
Kang Li
,
Peer Nagy
,
Silvia Sapora
,
Chris Lu
,
Stefan Zohren
,
Jakob N. Foerster
,
Anisoara Calinescu
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading.
CoRR
(2023)
Peer Nagy
,
Sascha Frey
,
Silvia Sapora
,
Kang Li
,
Anisoara Calinescu
,
Stefan Zohren
,
Jakob N. Foerster
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.
ICAIF
(2023)