We founded Lake Shore Dynamics on our conviction that it is both necessary and possible to model financial markets from the level of individual orders.

The behaviour of market participants is the ultimate filter for the information involved in price and market formation. If we can explain markets at the resolution of order flow, not only can we realistically assess strategies: we can model the impact of macroeconomic events and company-specific news that affect markets and our ability to trade successfully.

Models invented in this decade alone have made massive strides in human reasoning and language, image generation and decoding the basis of life. Building on this paradigm, we are developing our own generative architectures to model market behaviour.

We are researchers and builders with backgrounds in mathematics, statistics and computer science. We default to skepticism, whether evaluating our own results or those of others. We believe that large-scale market data and architectural innovation will allow us to capture the idiosyncratic behavior of market participants, without imposing biasing assumptions.

By training models on both order flow and the broader market, our framework will allow us to interrogate cause and effect in markets on every dimension. We are modelling the fabric of markets and the conditions under which it is woven.