Learning, information processing and order submission in limit order markets

DOI10.1016/J.JEDC.2015.09.013zbMATH Open1401.91574OpenAlexW2217182026MaRDI QIDQ1657445FDOQ1657445

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

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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)

Cites Work

• Title not available (Why is that?)
• Continuous Auctions and Insider Trading
• Money as a medium of exchange in an economy with artificially intelligent agents
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• The impact of heterogeneous trading rules on the limit order book and order flows
• Time series properties of an artificial stock market
• Limit order books
• Genetic algorithm learning to choose and use information
• Individual learning about consumption

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
• Learning multi-market microstructure from order book data
• Optimal execution with regime-switching market resilience
• 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
• Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data
• Trading strategy with stochastic volatility in a limit order book market
• How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders

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