AnalysisAI ModelsOctober 10, 2026

Jane Street intern builds diffusion model for market data

Read original source →blog.janestreet.com

Jane Street research intern Kavish built a diffusion model to synthesize order-book events, including order arrival timing, as part of the firm's 2026 summer intern projects. The post weighs whether market data is continuous like video or discrete like text, noting spiky distributions such as pennying being more common than two-tick improvements.

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