We present an order flow model framework for limit order driven markets. Different from previous models we explicitly model a reference price process that “sweeps” the limit order book as it fluctuates up and down. Our framework allows us to use any stochastic process to model this reference...

The central research question to answer in this feasibility study is whether the Artificial Intelligence (AI) methodology of Self-Play can be applied to financial markets. In typical use-cases of Self-Play, two AI agents play against each other in a particular game, e.g. chess or Go. By...