Order scoring, bandit learning and order cancellations

DOI10.1016/J.JEDC.2021.104287MaRDI QIDQ2115951zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Describes a project that uses

Uses Software

• AdaBoost.MH

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