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Found 4 papers, 2 papers with code
Limit Order Book Simulations: A Review
Limit Order Books (LOBs) serve as a mechanism for buyers and sellers to interact with each other in the financial markets.
Limit Order Book Dynamics and Order Size Modelling Using Compound Hawkes Process
We propose a novel methodology of using Compound Hawkes Process for the LOB where each event has an order size sampled from a calibrated distribution.
Surrogate-assisted parallel tempering for Bayesian neural learning
Due to the need for robust uncertainty quantification, Bayesian neural learning has gained attention in the era of deep learning and big data.
Langevin-gradient parallel tempering for Bayesian neural learning
This not only provides point estimates of optimal set of weights but also the ability to quantify uncertainty in decision making using the posterior distribution.
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