{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,30]],"date-time":"2026-09-30T20:18:32Z","timestamp":1790799512299,"version":"4.1.0"},"publisher-location":"New York, NY, USA","reference-count":26,"publisher":"ACM","license":[{"start":{"date-parts":[[2022,10,26]],"date-time":"2022-10-26T00:00:00Z","timestamp":1666742400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2022,11,2]]},"DOI":"10.1145\/3533271.3561753","type":"proceedings-article","created":{"date-parts":[[2022,10,20]],"date-time":"2022-10-20T22:20:22Z","timestamp":1666304422000},"page":"428-436","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":21,"title":["Learning to simulate realistic limit order book markets from data as a World Agent"],"prefix":"10.1145","author":[{"given":"Andrea","family":"Coletta","sequence":"first","affiliation":[{"name":"J. P. Morgan Chase, USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Aymeric","family":"Moulin","sequence":"additional","affiliation":[{"name":"Balyasny Asset Management, L.P., USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Svitlana","family":"Vyetrenko","sequence":"additional","affiliation":[{"name":"J. P. Morgan Chase, USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tucker","family":"Balch","sequence":"additional","affiliation":[{"name":"J. P. Morgan Chase, USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"320","published-online":{"date-parts":[[2022,10,26]]},"reference":[{"key":"e_1_3_2_1_1_1","unstructured":"Tucker\u00a0Hybinette Balch Mahmoud Mahfouz Joshua Lockhart Maria Hybinette and David Byrd. 2019. How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?arXiv preprint arXiv:1906.12010(2019).  Tucker\u00a0Hybinette Balch Mahmoud Mahfouz Joshua Lockhart Maria Hybinette and David Byrd. 2019. How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?arXiv preprint arXiv:1906.12010(2019)."},{"key":"e_1_3_2_1_2_1","volume-title":"quotes and prices: financial markets under the microscope","author":"Bouchaud Jean-Philippe","unstructured":"Jean-Philippe Bouchaud , Julius Bonart , Jonathan Donier , and Martin Gould . 2018. Trades , quotes and prices: financial markets under the microscope . Cambridge University Press . Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, and Martin Gould. 2018. Trades, quotes and prices: financial markets under the microscope. Cambridge University Press."},{"key":"e_1_3_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1145\/3384441.3395986"},{"key":"e_1_3_2_1_4_1","volume-title":"A simulation analysis of the microstructure of double auction markets. Quantitative finance 2, 5","author":"Chiarella Carl","year":"2002","unstructured":"Carl Chiarella and Giulia Iori . 2002. A simulation analysis of the microstructure of double auction markets. Quantitative finance 2, 5 ( 2002 ), 346. Carl Chiarella and Giulia Iori. 2002. A simulation analysis of the microstructure of double auction markets. Quantitative finance 2, 5 (2002), 346."},{"key":"e_1_3_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1145\/3490354.3494380"},{"key":"e_1_3_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1145\/3490354.3494411"},{"key":"e_1_3_2_1_7_1","volume-title":"Empirical properties of asset returns: stylized facts and statistical issues. Quantitative finance 1, 2","author":"Cont Rama","year":"2001","unstructured":"Rama Cont . 2001. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative finance 1, 2 ( 2001 ), 223. Rama Cont. 2001. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative finance 1, 2 (2001), 223."},{"key":"e_1_3_2_1_8_1","volume-title":"The economy needs agent-based modelling. Nature 460, 7256","author":"Farmer J\u00a0Doyne","year":"2009","unstructured":"J\u00a0Doyne Farmer and Duncan Foley . 2009. The economy needs agent-based modelling. Nature 460, 7256 ( 2009 ), 685\u2013686. J\u00a0Doyne Farmer and Duncan Foley. 2009. The economy needs agent-based modelling. Nature 460, 7256 (2009), 685\u2013686."},{"key":"e_1_3_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.0409157102"},{"key":"e_1_3_2_1_10_1","unstructured":"Ian Goodfellow. 2016. Nips 2016 tutorial: Generative adversarial networks. arXiv preprint arXiv:1701.00160(2016).  Ian Goodfellow. 2016. Nips 2016 tutorial: Generative adversarial networks. arXiv preprint arXiv:1701.00160(2016)."},{"key":"e_1_3_2_1_11_1","unstructured":"Ian Goodfellow Jean Pouget-Abadie Mehdi Mirza Bing Xu David Warde-Farley Sherjil Ozair Aaron Courville and Yoshua Bengio. 2014. Generative Adversarial Nets. In Advances in Neural Information Processing Systems Vol.\u00a027.  Ian Goodfellow Jean Pouget-Abadie Mehdi Mirza Bing Xu David Warde-Farley Sherjil Ozair Aaron Courville and Yoshua Bengio. 2014. Generative Adversarial Nets. In Advances in Neural Information Processing Systems Vol.\u00a027."},{"key":"e_1_3_2_1_12_1","unstructured":"Ishaan Gulrajani Faruk Ahmed Martin Arjovsky Vincent Dumoulin and Aaron Courville. 2017. Improved training of wasserstein gans. arXiv preprint arXiv:1704.00028(2017).  Ishaan Gulrajani Faruk Ahmed Martin Arjovsky Vincent Dumoulin and Aaron Courville. 2017. Improved training of wasserstein gans. arXiv preprint arXiv:1704.00028(2017)."},{"key":"e_1_3_2_1_13_1","unstructured":"Nasdaq Inc.2020. NASDAQ TotalView-ITCH 5.0. https:\/\/www.nasdaqtrader.com\/content\/technicalsupport\/specifications\/dataproducts\/NQTVITCHSpecification.pdf  Nasdaq Inc.2020. NASDAQ TotalView-ITCH 5.0. https:\/\/www.nasdaqtrader.com\/content\/technicalsupport\/specifications\/dataproducts\/NQTVITCHSpecification.pdf"},{"key":"e_1_3_2_1_14_1","doi-asserted-by":"crossref","unstructured":"Blake LeBaron and Ryuichi Yamamoto. 2007. Long-memory in an order-driven market. Physica A: Statistical mechanics and its Applications 383 1(2007) 85\u201389.  Blake LeBaron and Ryuichi Yamamoto. 2007. Long-memory in an order-driven market. Physica A: Statistical mechanics and its Applications 383 1(2007) 85\u201389.","DOI":"10.1016\/j.physa.2007.04.090"},{"key":"e_1_3_2_1_15_1","doi-asserted-by":"publisher","DOI":"10.1609\/aaai.v34i01.5415"},{"key":"e_1_3_2_1_16_1","first-page":"21","article-title":"Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis","volume":"7","author":"Lo W","year":"2005","unstructured":"Andrew\u00a0 W Lo . 2005 . Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis . Journal of investment consulting 7 , 2 (2005), 21 \u2013 44 . Andrew\u00a0W Lo. 2005. Reconciling efficient markets with behavioral finance: the adaptive markets hypothesis. Journal of investment consulting 7, 2 (2005), 21\u201344.","journal-title":"Journal of investment consulting"},{"key":"e_1_3_2_1_17_1","unstructured":"Mehdi Mirza and Simon Osindero. 2014. Conditional Generative Adversarial Nets. arxiv:1411.1784\u00a0[cs.LG]  Mehdi Mirza and Simon Osindero. 2014. Conditional Generative Adversarial Nets. arxiv:1411.1784\u00a0[cs.LG]"},{"key":"e_1_3_2_1_18_1","doi-asserted-by":"crossref","unstructured":"Takanobu Mizuta. 2016. A brief review of recent artificial market simulation (agent-based model) studies for financial market regulations and\/or rules. Available at SSRN 2710495(2016).  Takanobu Mizuta. 2016. A brief review of recent artificial market simulation (agent-based model) studies for financial market regulations and\/or rules. Available at SSRN 2710495(2016).","DOI":"10.2139\/ssrn.2710495"},{"key":"e_1_3_2_1_19_1","doi-asserted-by":"publisher","DOI":"10.1109\/SSCI47803.2020.9308376"},{"key":"e_1_3_2_1_20_1","unstructured":"NASDAQ. [n.d.]. Nasdaq Total View. https:\/\/www.nasdaq.com\/solutions\/nasdaq-totalview  NASDAQ. [n.d.]. Nasdaq Total View. https:\/\/www.nasdaq.com\/solutions\/nasdaq-totalview"},{"key":"e_1_3_2_1_21_1","doi-asserted-by":"publisher","DOI":"10.5555\/2343776.2343790"},{"key":"e_1_3_2_1_22_1","doi-asserted-by":"publisher","DOI":"10.1109\/MIS.2018.022441352"},{"key":"e_1_3_2_1_23_1","doi-asserted-by":"crossref","unstructured":"Marco Raberto Silvano Cincotti Sergio\u00a0M Focardi and Michele Marchesi. 2001. Agent-based simulation of a financial market. Physica A: Statistical Mechanics and its Applications 299 1-2(2001) 319\u2013327.  Marco Raberto Silvano Cincotti Sergio\u00a0M Focardi and Michele Marchesi. 2001. Agent-based simulation of a financial market. Physica A: Statistical Mechanics and its Applications 299 1-2(2001) 319\u2013327.","DOI":"10.1016\/S0378-4371(01)00312-0"},{"key":"e_1_3_2_1_24_1","doi-asserted-by":"publisher","DOI":"10.1145\/3383455.3422561"},{"key":"e_1_3_2_1_25_1","doi-asserted-by":"publisher","DOI":"10.1109\/WSC.2017.8247866"},{"key":"e_1_3_2_1_26_1","volume-title":"Proceedings of the 16th Conference on Autonomous Agents and MultiAgent Systems. 651\u2013659","author":"Wang Xintong","year":"2017","unstructured":"Xintong Wang and Michael\u00a0 P Wellman . 2017 . Spoofing the Limit Order Book: An Agent-Based Model . In Proceedings of the 16th Conference on Autonomous Agents and MultiAgent Systems. 651\u2013659 . Xintong Wang and Michael\u00a0P Wellman. 2017. Spoofing the Limit Order Book: An Agent-Based Model. In Proceedings of the 16th Conference on Autonomous Agents and MultiAgent Systems. 651\u2013659."}],"event":{"name":"ICAIF '22: 3rd ACM International Conference on AI in Finance","location":"New York NY USA","acronym":"ICAIF '22","sponsor":["ACM Association for Computing Machinery"]},"container-title":["Proceedings of the Third ACM International Conference on AI in Finance"],"original-title":[],"link":[{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3533271.3561753","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/dl.acm.org\/doi\/pdf\/10.1145\/3533271.3561753","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,17]],"date-time":"2025-06-17T19:00:39Z","timestamp":1750186839000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3533271.3561753"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,10,26]]},"references-count":26,"alternative-id":["10.1145\/3533271.3561753","10.1145\/3533271"],"URL":"https:\/\/doi.org\/10.1145\/3533271.3561753","relation":{},"subject":[],"published":{"date-parts":[[2022,10,26]]},"assertion":[{"value":"2022-10-26","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}