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Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing.
A geographical model for the daily and weekly seasonal volatility in the foreign exchange market
Michael M. Dacorogna, Ulrich Alfons Müller, Robert J. Nagler, Richard B. Olsen, and Olivier V. Pictet · 1993
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Allocative efficiency of markets with zero-intelligence traders: Market as a partial substitute for individual rationality
Dhananjay K Gode and Shyam Sunder · 1993
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Multiagent reinforcement learning: Theoretical framework and an algorithm
Junling Hu and Michael P. Wellman · 1998
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Responses of the stock market to macroeconomic announcements across economic states
Li Li and Zuliu Hu · 1998
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Price formation in double auctions
Steven Gjerstad and John Dickhaut · 1998
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Optimal execution of portfolio transactions
Robert Almgren and Neil Chriss · 1999
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The intraday multivariate structure of the Eurofutures markets
Giuseppe Ballocchi, Michel M. Dacorogna, Carl M. Hopman, Ulrich A. Muller, and Richard B. Olsen · 1999
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Order flow, transaction clock, and normality of asset returns
Thierry Ane and Helyette Geman · 2000
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Empirical properties of asset returns: stylized facts and statistical issues
Rama Cont · 2001
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Econometric models of limit-order executions
Andrew Lo, A Craig MacKinlay, and June Zhang · 2001
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Agent-based modeling: Methods and techniques for simulating human systems
Eric Bonabeau · 2002
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Statistical properties of stock order books: Empirical results and models
Jean-Philippe Bouchaud, Marc Mezard, and Marc Potters · 2002
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Fluctuations and response in financial markets: the subtle nature of random price changes
Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters, and Matthieu Wyart · 2003
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Reconciling efficient markets with behavioral finance: The adaptive markets hypothesis
Andrew Lo · 2004
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The predictive power of zero intelligence in financial markets
J Farmer, Paolo Patelli, and Ilija Zovko · 2005
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Direct estimation of equity market impact
Robert Almgren, Chee Thum, Emmanuel Hauptmann, and Hong Li · 2005
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Reinforcement learning for optimized trade execution
Y. Nevmyvaka, Y. Feng, and M. Kearns · 2006
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Methods for empirical game-theoretic analysis
Michael P Wellman · 2006
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Nasdaq Market Simulation: Insights on a Major Market from the Science of Complex Adaptive Systems
Vincent Darley and Alexander V. Outkin · 2007
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Long-memory in an order-driven market
Blake LeBaron and Ryuichi Yamamoto · 2007
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The competitive market paradox
Steven Gjerstad · 2007
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Stronger cda strategies through empirical game-theoretic analysis and reinforcement learning
L. Julian Schvartzman and Michael P. Wellman · 2009
Cited alongside, same era.
Tutorial on agent-based modeling and simulation
C Macal and M North · 2010
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Bayesian estimation of agent-based models
Jakob Grazzini, Matteo Richiardi, and Efthymios Tsionas · 2015
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Market stability vs. market resilience: Regulatory policies experiments in an agent based model with low- and high-frequency trading
Sandrine Leal and Mauro Napoletano · 2016
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Limit order books
Frédéric Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, and Ioane Muni Toke · 2016
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Agent inspired trading using recurrent reinforcement learning and lstm neural networks
David Lu · 2017
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Spoofing the limit order book: An agent-based model
Xintong Wang and Michael P Wellman · 2017
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Welfare effects of market making in continuous double auctions
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Findings regarding the market events of may 6, 2010
CFTC · 2010
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No-dynamic-arbitrage and market impact
Jim Gatheral · 2010
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Price impact
Jean-Philippe Bouchaud · 2010
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Market making and mean reversion
Tanmoy Chakraborty and Michael Kearns · 2011
Cited alongside, same era.
Can a zero-intelligence plus model explain the stylized facts of financial time series data?
Imon Palit, Steve Phelps, and Wing Lon Ng · 2012
Cited alongside, same era.
An agent-based modeling approach to study price impact
Wei Cui and Anthony Brabazon · 2012
Cited alongside, same era.
Elaine Wah, Mason Wright, and Michael P Wellman · 2017
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Market making via reinforcement learning
T. Spooner, J. Fearnley, R. Savani, and A. Koukorinis · 2018
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H Buehler, L Gonon, J Teichmann, and B Wood · 2018
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Trades, quotes and prices: financial markets under the microscope
Jean-Philippe Bouchaud, Julius Bonart, Jonathan Donier, and Martin Gould · 2018
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Market making via reinforcement learning
Thomas Spooner, John Fearnley, Rahul Savani, and Andreas Koukorinis · 2018
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High frequency trading strategies, market fragility and price spikes: an agent based model perspective
Frank McGroarty, Ash Booth, Enrico Gerding, and Venkata L. Raju Chinthalapati · 2018
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Risk-sensitive compact decision trees for autonomous execution in presence of simulated market response
Svitlana Vyetrenko and Shaojie Xu · 2019
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Generating realistic stock market order streams, 2019
Junyi Li, Xintong Wang, Yaoyang Lin, Arunesh Sinha, and Michael P. Wellman · 2019
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Learning to simulate
N. Ruiz, S. Schulter, and M. Chandraker · 2019
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Abides: Towards high-fidelity market simulation for ai research
David Byrd, Maria Hybinette, and Tucker Hybinette Balch · 2019
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Explaining agent-based financial market simulation
David Byrd · 2019
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