Sascha Frey

According to our database, Sascha Frey authored at least 3 papers between 2023 and 2025.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2025

LOB-Bench: Benchmarking Generative AI for Finance - an Application to Limit Order Book Data.

Peer Nagy, Sascha Frey, Kang Li, Bidipta Sarkar, Svitlana Vyetrenko, Stefan Zohren, Ani Calinescu, Jakob N. Foerster

CoRR, February, 2025

2023

Generative AI for End-to-End Limit Order Book Modelling: A Token-Level Autoregressive Generative Model of Message Flow Using a Deep State Space Network.

Peer Nagy, Sascha Frey, Silvia Sapora, Kang Li, Anisoara Calinescu, Stefan Zohren, Jakob N. Foerster

Proceedings of the 4th ACM International Conference on AI in Finance, 2023

JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading.

Sascha Yves Frey, Kang Li, Peer Nagy, Silvia Sapora, Christopher Lu, Stefan Zohren, Jakob N. Foerster, Anisoara Calinescu

Proceedings of the 4th ACM International Conference on AI in Finance, 2023