Dynamics of market making algorithms in dealer markets: Learning and tacit collusion

DOI10.1111/MAFI.12401MaRDI QIDQ6196294zbMATH OpenFDO

Authors Rama Cont, Wei Xiong

Publication date 14 March 2024

Published in Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1111/MAFI.12401

zbMATH Keywords

decentralized learningdifferential gamesintensity controllearningmarket makingmarket microstructuremulti-agent actor-critic algorithmNash equilibriumreinforcement tacit collusion

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic games, stochastic differential games (91A15) Applications of game theory (91A80) Financial markets (91G15)

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Cites work

• AI-driven liquidity provision in OTC financial markets
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• An iterative method of solving a game
• Buy Low, Sell High: A High Frequency Trading Perspective
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• Fictitious play property for games with identical interests
• High-frequency trading in a limit order book
• scientific article; zbMATH DE number 3069635 (Why is no real title available?)
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• Optimal market making
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• Recent advances in reinforcement learning in finance
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• Stochastic games for fuel follower problem: \(N\) versus mean field game
• Stochastic optimal control. The discrete time case
• Tacit collusion in repeated auctions.

Cited in

(3)

• Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor–Critic Approach
• Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations
• Macroscopic market making games

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