Learning, information processing and order submission in limit order markets

DOI10.1016/J.JEDC.2015.09.013MaRDI QIDQ1657445zbMATH OpenOpenAlexFDO

Authors Carl Chiarella, Xue-Zhong He, Lijian Wei

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/37892

zbMATH Keywords

limit order bookasymmetric informationgenetic algorithm learningorder submissionprobability of informed trading

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• Continuous Auctions and Insider Trading
• Genetic algorithm learning to choose and use information
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Individual learning about consumption
• Limit order books
• Money as a medium of exchange in an economy with artificially intelligent agents
• The impact of heterogeneous trading rules on the limit order book and order flows
• Time series properties of an artificial stock market

Cited in

(12)

• Price dynamics in an order-driven market with Bayesian learning
• Machine learning and speed in high-frequency trading
• The high frequency trade off between speed and sophistication
• Optimal execution with regime-switching market resilience
• Learning multi-market microstructure from order book data
• Reinforcement learning equilibrium in limit order markets
• A learning market-maker in the Glosten–Milgrom model
• Market-making strategy with asymmetric information and regime-switching
• Online Learning in Limit Order Book Trade Execution
• Trading strategy with stochastic volatility in a limit order book market
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
• How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

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