Author

Mihai Cucuringu

2 papers indexed here

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Preprint Oct 2026

Understanding the Inner Workings of a State-Space Foundation Model for Limit Order Books

Autoregressive foundation models offer state-of-the-art capabilities to simulate the market by generating the message flow of limit order books (LOBs). Yet, without understanding their inner workings, research directions are hard to narrow and practical use in real-world trading environments remains uncertain. This stu...

Valentin Mohl, Alexandre Bismuth, Aramis Marti-Shahandeh et al. · 0 citations

Open access Oct 2026

Online forecasting for financial time series

We introduce OFTER (online forecasting via temporal embedding regression), a time series forecasting pipeline tailored for financial problems centered on mid-sized multivariate time series. OFTER utilizes the non-parametric models of k-nearest neighbors and generalized regression neural networks, integrated with a dime...

N. Michael, Mihai Cucuringu, Sam Howison · International Journal of Dat... · 0 citations