{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,6]],"date-time":"2026-02-06T13:37:45Z","timestamp":1770385065610,"version":"3.49.0"},"publisher-location":"New York, NY, USA","reference-count":36,"publisher":"ACM","content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":[],"published-print":{"date-parts":[[2025,11,15]]},"DOI":"10.1145\/3768292.3770413","type":"proceedings-article","created":{"date-parts":[[2025,11,14]],"date-time":"2025-11-14T07:24:26Z","timestamp":1763105066000},"page":"587-595","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":1,"title":["DiffVolume: Diffusion Models for Volume Generation in Limit Order Books"],"prefix":"10.1145","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-9070-5252","authenticated-orcid":false,"given":"Zhuohan","family":"Wang","sequence":"first","affiliation":[{"name":"King's College London, London, United Kingdom"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-1464-1215","authenticated-orcid":false,"given":"Carmine","family":"Ventre","sequence":"additional","affiliation":[{"name":"King's College London, London, United Kingdom"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"320","published-online":{"date-parts":[[2025,11,14]]},"reference":[{"key":"e_1_3_3_2_2_2","doi-asserted-by":"publisher","DOI":"10.1145\/3490354.3494433"},{"key":"e_1_3_3_2_3_2","doi-asserted-by":"crossref","unstructured":"Brian\u00a0DO Anderson. 1982. Reverse-time diffusion equation models. Stochastic Processes and their Applications 12 3 (1982) 313\u2013326.","DOI":"10.1016\/0304-4149(82)90051-5"},{"key":"e_1_3_3_2_4_2","doi-asserted-by":"crossref","unstructured":"Emmanuel Bacry Iacopo Mastromatteo and Jean-Fran\u00e7ois Muzy. 2015. Hawkes processes in finance. Market Microstructure and Liquidity 1 01 (2015) 1550005.","DOI":"10.1142\/S2382626615500057"},{"key":"e_1_3_3_2_5_2","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:https:\/\/arXiv.org\/abs\/1906.12010 (2019)."},{"key":"e_1_3_3_2_6_2","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-540-71297-8_41"},{"key":"e_1_3_3_2_7_2","doi-asserted-by":"publisher","DOI":"10.1017\/9781316659335"},{"key":"e_1_3_3_2_8_2","doi-asserted-by":"crossref","unstructured":"Antonio Briola Silvia Bartolucci and Tomaso Aste. 2025. HLOB\u2013Information persistence and structure in limit order books. Expert Systems with Applications 266 (2025) 126078.","DOI":"10.1016\/j.eswa.2024.126078"},{"key":"e_1_3_3_2_9_2","unstructured":"David Byrd Maria Hybinette and Tucker\u00a0Hybinette Balch. 2019. Abides: Towards high-fidelity market simulation for AI research. arXiv preprint arXiv:https:\/\/arXiv.org\/abs\/1904.12066 (2019)."},{"key":"e_1_3_3_2_10_2","doi-asserted-by":"crossref","unstructured":"Stanley Chan et\u00a0al. 2024. Tutorial on diffusion models for imaging and vision. Foundations and Trends\u00ae in Computer Graphics and Vision 16 4 (2024) 322\u2013471.","DOI":"10.1561\/0600000112"},{"key":"e_1_3_3_2_11_2","doi-asserted-by":"publisher","DOI":"10.1145\/3490354.3494411"},{"key":"e_1_3_3_2_12_2","doi-asserted-by":"crossref","unstructured":"Rama Cont Mihai Cucuringu Jonathan Kochems and Felix Prenzel. 2023. Limit order book simulation with generative adversarial networks. Available at SSRN 4512356 (2023).","DOI":"10.2139\/ssrn.4512356"},{"key":"e_1_3_3_2_13_2","doi-asserted-by":"crossref","unstructured":"Vladimir Filimonov and Didier Sornette. 2012. Quantifying reflexivity in financial markets: Toward a prediction of flash crashes. Physical Review E\u2014Statistical Nonlinear and Soft Matter Physics 85 5 (2012) 056108.","DOI":"10.1103\/PhysRevE.85.056108"},{"key":"e_1_3_3_2_14_2","doi-asserted-by":"publisher","DOI":"10.1007\/s10710-017-9314-z"},{"key":"e_1_3_3_2_15_2","doi-asserted-by":"crossref","unstructured":"Martin\u00a0D Gould Mason\u00a0A Porter Stacy Williams Mark McDonald Daniel\u00a0J Fenn and Sam\u00a0D Howison. 2013. Limit order books. Quantitative Finance 13 11 (2013) 1709\u20131742.","DOI":"10.1080\/14697688.2013.803148"},{"key":"e_1_3_3_2_16_2","unstructured":"Jonathan Ho Ajay Jain and Pieter Abbeel. 2020. Denoising diffusion probabilistic models. Advances in neural information processing systems 33 (2020) 6840\u20136851."},{"key":"e_1_3_3_2_17_2","unstructured":"Jonathan Ho and Tim Salimans. 2021. Classifier-free diffusion guidance. NeurIPS 2021 Workshop on Deep Generative Models and Downstream Applications (2021)."},{"key":"e_1_3_3_2_18_2","doi-asserted-by":"crossref","unstructured":"Ruihong Huang and Tomas Polak. 2011. Lobster: Limit order book reconstruction system. Available at SSRN 1977207 (2011).","DOI":"10.2139\/ssrn.1977207"},{"key":"e_1_3_3_2_19_2","doi-asserted-by":"crossref","unstructured":"Hanna Hultin Henrik Hult Alexandre Proutiere Samuel Samama and Ala Tarighati. 2023. A generative model of a limit order book using recurrent neural networks. Quantitative Finance 23 6 (2023) 931\u2013958.","DOI":"10.1080\/14697688.2023.2205583"},{"key":"e_1_3_3_2_20_2","unstructured":"Tero Karras Miika Aittala Timo Aila and Samuli Laine. 2022. Elucidating the design space of diffusion-based generative models. Advances in Neural Information Processing Systems 35 (2022) 26565\u201326577."},{"key":"e_1_3_3_2_21_2","unstructured":"Diederik\u00a0P. Kingma and Jimmy Ba. 2015. Adam: A Method for Stochastic Optimization. International Conference on Learning Representations (2015)."},{"key":"e_1_3_3_2_22_2","doi-asserted-by":"publisher","DOI":"10.1145\/3583780.3614844"},{"key":"e_1_3_3_2_23_2","doi-asserted-by":"publisher","DOI":"10.1609\/aaai.v34i01.5415"},{"key":"e_1_3_3_2_24_2","unstructured":"Calvin Luo. 2022. Understanding diffusion models: A unified perspective. arXiv preprint arXiv:https:\/\/arXiv.org\/abs\/2208.11970 (2022)."},{"key":"e_1_3_3_2_25_2","doi-asserted-by":"publisher","DOI":"10.1145\/3604237.3626898"},{"key":"e_1_3_3_2_26_2","first-page":"8162","volume-title":"International conference on machine learning","author":"Nichol Alexander\u00a0Quinn","year":"2021","unstructured":"Alexander\u00a0Quinn Nichol and Prafulla Dhariwal. 2021. Improved denoising diffusion probabilistic models. In International conference on machine learning. PMLR, 8162\u20138171."},{"key":"e_1_3_3_2_27_2","doi-asserted-by":"publisher","DOI":"10.1109\/CIFEr.2012.6327800"},{"key":"e_1_3_3_2_28_2","doi-asserted-by":"publisher","DOI":"10.1609\/aaai.v32i1.11671"},{"key":"e_1_3_3_2_29_2","first-page":"2256","volume-title":"International conference on machine learning","author":"Sohl-Dickstein Jascha","year":"2015","unstructured":"Jascha Sohl-Dickstein, Eric Weiss, Niru Maheswaranathan, and Surya Ganguli. 2015. Deep unsupervised learning using nonequilibrium thermodynamics. In International conference on machine learning. PMLR, 2256\u20132265."},{"key":"e_1_3_3_2_30_2","unstructured":"Jiaming Song Chenlin Meng and Stefano Ermon. 2021. Denoising diffusion implicit models. International Conference on Learning Representations (2021)."},{"key":"e_1_3_3_2_31_2","unstructured":"Yang Song and Stefano Ermon. 2019. Generative modeling by estimating gradients of the data distribution. Advances in neural information processing systems 32 (2019)."},{"key":"e_1_3_3_2_32_2","unstructured":"Yang Song Jascha Sohl-Dickstein Diederik\u00a0P Kingma Abhishek Kumar Stefano Ermon and Ben Poole. 2021. Score-based generative modeling through stochastic differential equations. International Conference on Learning Representations (2021)."},{"key":"e_1_3_3_2_33_2","unstructured":"Yusuke Tashiro Jiaming Song Yang Song and Stefano Ermon. 2021. CSDI: Conditional score-based diffusion models for probabilistic time series imputation. Advances in Neural Information Processing Systems 34 (2021) 24804\u201324816."},{"key":"e_1_3_3_2_34_2","first-page":"125","volume-title":"Proceedings of the 9th ISCA Speech Synthesis Workshop (SSW)","author":"Oord A\u00e4ron van\u00a0den","year":"2016","unstructured":"A\u00e4ron van\u00a0den Oord, Sander Dieleman, Heiga Zen, Karen Simonyan, Oriol Vinyals, Alex Graves, Nal Kalchbrenner, Andrew\u00a0W. Senior, and Koray Kavukcuoglu. 2016. WaveNet: A Generative Model for Raw Audio. In Proceedings of the 9th ISCA Speech Synthesis Workshop (SSW). 125\u2013131."},{"key":"e_1_3_3_2_35_2","unstructured":"Ashish Vaswani Noam Shazeer Niki Parmar Jakob Uszkoreit Llion Jones Aidan\u00a0N Gomez \u0141ukasz Kaiser and Illia Polosukhin. 2017. Attention is all you need. Advances in neural information processing systems 30 (2017)."},{"key":"e_1_3_3_2_36_2","doi-asserted-by":"crossref","unstructured":"Pascal Vincent. 2011. A connection between score matching and denoising autoencoders. Neural computation 23 7 (2011) 1661\u20131674.","DOI":"10.1162\/NECO_a_00142"},{"key":"e_1_3_3_2_37_2","doi-asserted-by":"publisher","DOI":"10.1145\/3677052.3698649"}],"event":{"name":"ICAIF '25: 6th ACM International Conference on AI in Finance","location":"Singapore Singapore","acronym":"ICAIF '25"},"container-title":["Proceedings of the 6th ACM International Conference on AI in Finance"],"original-title":[],"deposited":{"date-parts":[[2025,11,14]],"date-time":"2025-11-14T07:28:13Z","timestamp":1763105293000},"score":1,"resource":{"primary":{"URL":"https:\/\/dl.acm.org\/doi\/10.1145\/3768292.3770413"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2025,11,14]]},"references-count":36,"alternative-id":["10.1145\/3768292.3770413","10.1145\/3768292"],"URL":"https:\/\/doi.org\/10.1145\/3768292.3770413","relation":{},"subject":[],"published":{"date-parts":[[2025,11,14]]},"assertion":[{"value":"2025-11-14","order":3,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}