no code implementations • 12 May 2023 • Chuheng Zhang, Yitong Duan, Xiaoyu Chen, Jianyu Chen, Jian Li, Li Zhao
To evaluate our algorithms, we also implement a carefully designed simulator based on historical limit order book (LOB) data to provide a high-fidelity benchmark for different algorithms.
3 code implementations • AAAI Conference on Artificial Intelligence 2022 • Yitong Duan, Lei Wang, Qizhong Zhang, Jian Li
As an asset pricing model in economics and finance, factor model has been widely used in quantitative investment.