Can you use autoregressive diffusion to generate market data?

The real story here is this wonderful exposition in applying diffusion models to a time series data that is neither discrete nor continuous. It’s always fascinating to see diffusion models applied in different scenarios, same with diffusion language models.

There is no model of the market that can remain stably accurate because the market will inevitably incorporate the insights of any model that is accurate until those insights are no longer accurate

Remarkable internship. Fairly dense write-up too. Everything is informative.

Amusing degree of detail, though it makes sense it’s targeted at future interns. Why would you expect order inter-arrival to be normal? Surely an order arriving sort of boosts the probability of others, Hawkes-like. A nice little trick to get students talking I suppose.

Jane Street interns impressive as always.

The market has modes and reverts behavior when it switches them. Thus happy bouncy becomes hammered stammered. The prediction models fall hook and sinker for that.

No

"Past performance is not indicative of future results."

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