mlsanityData to 14 Oct 2026

Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness

arXiv 2306.12806 ↗First posted 22 Jun 2023q-fin.TR cs.AI cs.CEcited by 14

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Abstract (arXiv)

Limit order books are a fundamental and widespread market mechanism. This paper investigates the use of conditional generative models for order book simulation. For developing a trading agent, this approach has drawn recent attention as an alternative to traditional backtesting due to its ability to react to the presence of the trading agent. Using a state-of-the-art CGAN (from Coletta et al. (2022)), we explore its dependence upon input features, which highlights both strengths and weaknesses. To do this, we use "adversarial attacks" on the model's features and its mechanism. We then show how these insights can be used to improve the CGAN, both in terms of its realism and robustness. We finish by laying out a roadmap for future work.

Key facts. Cited by 14 papers in the map (data through 14 Oct 2026). Builds on 30 of its 71 references that are in the map. First posted on arXiv 22 Jun 2023.

Builds on

30 of 71 references.

References · 30

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18 more
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Cited by year (2026 to 14 Oct)

Citing papers per year: 2023: 2; 2024: 4; 2025: 6; 2026: 2.

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  1. 2024MarS: a Financial Market Simulation Engine Powered by Generative Foundation Modelcited by 28
  2. 2023Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Networkcited by 20
  3. 2025From Deep Learning to LLMs: A survey of AI in Quantitative Investmentcited by 9
  4. 2024Time-Causal VAE: Robust Financial Time Series Generatorcited by 8
  5. 2025TRADES: Generating Realistic Market Simulations with Diffusion Modelscited by 5
  6. 2025LOB-Bench: Benchmarking Generative AI for Finance -- an Application to Limit Order Book Datacited by 5
  7. 2025ByteGen: A Tokenizer-Free Generative Model for Orderbook Events in Byte Spacecited by 2
  8. 2023INTAGS: Interactive Agent-Guided Simulationcited by 1
  9. 2024Limit Order Book Simulation and Trade Evaluation with K-Nearest-Neighbor Resamplingcited by 1
  10. 2025Financial Wind Tunnel: A Retrieval-Augmented Market Simulatorcited by 1
  11. 2024Large Investment Modelcited by 0
  12. 2025Factor-Based Conditional Diffusion Model for Contextual Portfolio Optimizationcited by 0
2 more
  1. 2026LOB-ID: Evaluating Synthetic Market Data by Inception Distancescited by 0
  2. 2026ViperQ: Order Flow Pattern Recognition via Auction Market Theory for Reinforcement Learning Tradingcited by 0