Quants look to language models to predict market impact

Oxford-Man Institute says LLM-type engine that ‘reads’ order-book messages could help improve execution

Quants using the technology behind tools such as ChatGPT have developed a model that can forecast how large trades might move asset prices.

A team at the Oxford-Man Institute – a research unit at the University of Oxford co-founded and funded by the Man Group hedge fund – has built a machine learning model that roots out patterns in the messages traders send to an exchange’s limit order book.

Stefan Zohren, a research fellow at the institute and a quant at Man Group overlooking futures