Deviations from the Nash equilibrium and emergence of tacit collusion in a two-player optimal execution game with reinforcement learning
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- Alexander Schied & Tao Zhang, 2019. "A Market Impact Game Under Transient Price Impact," Mathematics of Operations Research, INFORMS, vol. 44(1), pages 102-121, February.
- Matthias Hettich, 2021. "Algorithmic Collusion: Insights from Deep Learning," CQE Working Papers 9421, Center for Quantitative Economics (CQE), University of Muenster.
- Alexander Schied & Tao Zhang, 2017. "A State-Constrained Differential Game Arising In Optimal Portfolio Liquidation," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 779-802, July.
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This paper has been announced in the following NEP Reports:- NEP-COM-2024-09-30 (Industrial Competition)
- NEP-GTH-2024-09-30 (Game Theory)
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