Reinforcement learning equilibrium in limit order markets

DOI10.1016/J.JEDC.2022.104497MaRDI QIDQ2102852zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 12 December 2022

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

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104497

zbMATH Keywords

reinforcement learninglimit order marketand price discoveryendogenous liquidity provisionorder chasing

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cites work

• A simulation analysis of the microstructure of double auction markets
• Examining the effectiveness of price limits in an artificial stock market
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Learning, information processing and order submission in limit order markets
• Machine learning and speed in high-frequency trading
• Nonlinear economic dynamics and financial modelling. Essays in honour of Carl Chiarella
• The high frequency trade off between speed and sophistication
• The impact of heterogeneous trading rules on the limit order book and order flows
• Time series properties of an artificial stock market

Cited in

(7)

• Price dynamics in an order-driven market with Bayesian learning
• AI-driven liquidity provision in OTC financial markets
• Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations
• Learning, information processing and order submission in limit order markets
• Online Learning in Limit Order Book Trade Execution
• Learning about latent dynamic trading demand
• Deep learning for limit order books

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