Towards Inverse Reinforcement Learning for Limit Order Book Dynamics. - Jacobo Roa-Vicens; Cyrine Chtourou; Angelos Filos; Francisco Rullan; Yarin Gal; Ricardo Silva 001 (CoRR, 2019)

Adversarial recovery of agent rewards from latent spaces of the limit order book. - Jacobo Roa-Vicens; Yuanbo Wang; Virgile Mison; Yarin Gal; Ricardo Silva 001 (CoRR, 2019)

Graph and tensor-train recurrent neural networks for high-dimensional models of limit order books. - Jacobo Roa-Vicens; Yao Lei Xu; Ricardo Silva 001; Danilo P. Mandic (ICAIF, 2022)