Author

Ollie Olby

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Preprint Aug 2026

LOB-ID: Evaluating Synthetic Market Data by Inception Distances

This work introduces LOB-ID, an embedding-based framework that adapts the Fr\'echet Inception Distance and Monge Inception Distance to LOB data, and scores five generative LOB models, spanning stochastic baselines and deep learning approaches, and finds that LOB-ID ranks them in line with the joint temporal and cross-l...

Andreea Bacalum, Zhuo-Han Wang, Ollie Olby et al. · 0 citations