GoKawiilJane Street intern builds diffusion model to generate synthetic market data
A 2026 summer research intern at Jane Street, Kavish, developed a diffusion model aimed at synthesizing order book events—such as order placements, cancellations and executions—rather than just predicting prices. The project explored whether market data, which mixes discrete actions with near-continuous and often spiky distributions (like order timing and price ticks), can be modeled using diffusion techniques borrowed from image, video, and audio generation.