TABL-ABM: A Hybrid Framework for Synthetic LOB Generation

• URL: http://arxiv.org/abs/2510.22685v1
• Date: Sun, 26 Oct 2025 14:04:49 GMT
• Title: TABL-ABM: A Hybrid Framework for Synthetic LOB Generation
• Authors: Ollie Olby, Rory Baggott, Namid Stillman,
• Abstract summary: Recent application of deep learning models to financial trading has heightened the need for high fidelity financial time series data.<n>State-of-the-art models for the generative application often rely on huge amounts of historical data and large, complicated models.<n>Agent-based approaches to modelling limit order book dynamics can also recreate trading activity.
• Score: 0.0
• License: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Abstract: The recent application of deep learning models to financial trading has heightened the need for high fidelity financial time series data. This synthetic data can be used to supplement historical data to train large trading models. The state-of-the-art models for the generative application often rely on huge amounts of historical data and large, complicated models. These models range from autoregressive and diffusion-based models through to architecturally simpler models such as the temporal-attention bilinear layer. Agent-based approaches to modelling limit order book dynamics can also recreate trading activity through mechanistic models of trader behaviours. In this work, we demonstrate how a popular agent-based framework for simulating intraday trading activity, the Chiarella model, can be combined with one of the most performant deep learning models for forecasting multi-variate time series, the TABL model. This forecasting model is coupled to a simulation of a matching engine with a novel method for simulating deleted order flow. Our simulator gives us the ability to test the generative abilities of the forecasting model using stylised facts. Our results show that this methodology generates realistic price dynamics however, when analysing deeper, parts of the markets microstructure are not accurately recreated, highlighting the necessity for including more sophisticated agent behaviors into the modeling framework to help account for tail events.

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