Reinforcement learning equilibrium in limit order markets

DOI10.1016/J.JEDC.2022.104497OpenAlexW4288760255MaRDI QIDQ2102852FDOQ2102852

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

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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)

Cites Work

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

Cited In (4)

• Price dynamics in an order-driven market with Bayesian learning
• AI-driven liquidity provision in OTC financial markets
• Online Learning in Limit Order Book Trade Execution
• Deep learning for limit order books

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