TLDR AI · RESEARCH & INNOVATION

SIMULATING AN ORDER BOOK IN JAX

arxiv.org28 min read

Summary from the TLDR AI newsletter

Financial institutions use something called a limit order book to maintain all of the transaction information for trades on their platforms. This is useful, but it usually runs on the CPU, which makes running RL on them hard. This paper talks through creating an order book that runs on the GPU written in JAX.