Svitlana Vyetrenko, David Byrd, Nick Petosa, Mahmoud Mahfouz, Danial Dervovic, Manuela Veloso, Tucker Balch. Get real: realism metrics for robust limit order book market simulations. In Tucker Balch, editor, ICAIF '20: The First ACM International Conference on AI in Finance, New York, NY, USA, October 15-16, 2020. ACM, 2020. [doi]
Abstract is missing.