Order scoring, bandit learning and order cancellations

DOI10.1016/J.JEDC.2021.104287OpenAlexW3215712788MaRDI QIDQ2115951FDOQ2115951

Authors: Xuefeng Gao, Tianrun Xu 

Publication date: 15 March 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.2021.104287

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zbMATH Keywords

limit order bookorder cancellationmulti armed banditorder scoring

Mathematics Subject Classification ID

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

Cites Work

• A decision-theoretic generalization of on-line learning and an application to boosting
• An introduction to statistical learning. With applications in R
• Price dynamics in a Markovian limit order market
• The price impact of order book events: market orders, limit orders and cancellations
• A stochastic model for order book dynamics
• Regret analysis of stochastic and nonstochastic multi-armed bandit problems
• Reinforcement learning. An introduction
• Optimal split of orders across liquidity pools: a stochastic algorithm approach
• On upper-confidence bound policies for switching bandit problems
• Zero-intelligence realized variance estimation.
• Modelling Asset Prices for Algorithmic and High-Frequency Trading
• Optimal order display in limit order markets with liquidity competition
• Optimal market making in the presence of latency
• Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices
• Deep learning for limit order books
• Enhancing trading strategies with order book signals
• Online Learning in Limit Order Book Trade Execution

Uses Software

• AdaBoost.MH

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