Reinforcement Learning Equilibrium in Limit Order Markets
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DOI: 10.1016/j.jedc.2022.104497
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Cited by:
- Breckenfelder, Johannes, 2024.
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Journal of Economic Dynamics and Control, Elsevier, vol. 166(C).
- Breckenfelder, Johannes, 2019. "Competition among high-frequency traders, and market quality," Working Paper Series 2290, European Central Bank.
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More about this item
Keywords
Limit order market; reinforcement learning; order chasing; endogenous liquidity provision; and price discovery;All these keywords.
JEL classification:
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
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