Dynamics of market making algorithms in dealer markets: Learning and tacit collusion
From MaRDI portal
Publication:6196294
DOI10.1111/mafi.12401MaRDI QIDQ6196294
Publication date: 14 March 2024
Published in: Mathematical Finance (Search for Journal in Brave)
differential gameslearningNash equilibriummarket microstructuremarket makingintensity controldecentralized learningmulti-agent actor-critic algorithmreinforcement tacit collusion
Applications of game theory (91A80) Stochastic games, stochastic differential games (91A15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)
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