Market Microstructure

• Many learning agents interacting with an agent-based market model, April 2023

• Asynchronous Deep Double Duelling Q-Learning for Trading-Signal Execution in Limit Order Book Markets, February 2023

• Optimal Liquidation with Signals: the General Propagator Case, December 2022

• Stochastic Liquidity as a Proxy for Nonlinear Price Impact, December 2022

• Fast and Slow Optimal Trading with Exogenous, Novermber 2022

• Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations, Novermber 2022

• Model-based gym environments for limit order book trading, Octorber 2022

• A simple learning agent interacting with an agent-based market model, Septermber 2022

• Double Deep Q-Learning for Optimal Execution, August 2022

• Policy Gradient Stock GAN for Realistic Discrete Order Data Generation in Financial Markets, April 2022