Reinforcement learning equilibrium in limit order markets
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Publication:2102852
DOI10.1016/J.JEDC.2022.104497OpenAlexW4288760255MaRDI QIDQ2102852FDOQ2102852
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
Recommendations
reinforcement learninglimit order marketand price discoveryendogenous liquidity provisionorder chasing
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. Essays in honour of Carl Chiarella
- Machine learning and speed in high-frequency trading
- The high frequency trade off between speed and sophistication
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
- Online Learning in Limit Order Book Trade Execution
- Learning about latent dynamic trading demand
- Deep learning for limit order books
- Learning, information processing and order submission in limit order markets
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