Author

Junoh Kang

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#machine learning Preprint Sep 2026

ReLOBGen: Replayable Limit Order Book Message Generation

ReLOBGen achieves 100% replayability, improves market realism, particularly for top-of-book statistics and the relative prices of LOB messages, and provides a $2.7\text{-}3.6\times$ speedup per replayed message over the LOBS5 baseline.

Junoh Kang, Kiseop Lee, Bohyung Han · 0 citations