Sascha Frey

According to our database, Sascha Frey authored at least 5 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 Yves Frey, Kang Li, Bidipta Sarkar, Svitlana Vyetrenko, Stefan Zohren, Ani Calinescu, Jakob Nicolaus Foerster

Proceedings of the Forty-second International Conference on Machine Learning, 2025

JaxMARL-HFT: GPU-Accelerated Large-Scale Multi-Agent Reinforcement Learning for High-Frequency Trading.

Valentin Mohl, Sascha Frey, Reuben Leyland, Kang Li, George Nigmatulin, Mihai Cucuringu, Stefan Zohren, Jakob N. Foerster, Anisoara Calinescu

Proceedings of the 6th ACM International Conference on AI in Finance, 2025

Discrete Flow Matching is a Surprisingly Effective Post-training Method to Address Compound Error in Autoregressive Models.

Kang Li, Bidipta Sarkar, Zheng Xiong, Sascha Frey, Zilin Wang, Frensi Zejnullahu, Alfred Backhouse, Stefan Zohren, Anisoara Calinescu, Mihai Cucuringu, Jakob N. Foerster

Proceedings of the 6th ACM International Conference on AI in Finance, 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