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We study a game between liquidity provider and liquidity taker agents interacting in an over-the-counter market, for which the typical example is foreign exchange.
Asynchronous methods for deep reinforcement learning
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Policy gradients with variance related risk criteria
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Guéant, O., Lehalle, C.-A., and Fernandez-Tapia, J. (2013) · 2013
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Cartea, A., Jaimungal, S., and Penalva, J. (2015) · 2015
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Learning to learn by gradient descent by gradient descent
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Reinforcement learning for market making in a multi-agent dealer market
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Mahajan, A., Rashid, T., Samvelyan, M., and Whiteson, S. (2019) · 2019
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Srinivas, N., Krause, A., Kakade, S., and Seeger, M. (2016) · 2016
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Real world games look like spinning tops
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Calibration of Shared Equilibria in General Sum Partially Observable Markov Games
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On the noisy gradient descent that generalizes as SGD
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Towards a fully RL-based market simulator
Ardon, L., Vadori, N., Spooner, T., Xu, M., Vann, J., and Ganesh, S. (2021) · 2021
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Liquidity in competitive dealer markets
Bank, P., Ekren, I., and Muhle-Karbe, J. (2021) · 2021
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Market making by an fx dealer: tiers, pricing ladders and hedging rates for optimal risk control
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Size matters for otc market makers: general results and dimensionality reduction techniques
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A stochastic partial differential equation model for limit order book dynamics
Cont, R. and Müller, M. S. (2021) · 2021
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Policy gradient methods find the nash equilibrium in n-player general-sum linear-quadratic games
Hambly, B. M., Xu, R., and Yang, H. (2021) · 2021
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Global convergence of multi-agent policy gradient in markov potential games
Leonardos, S., Overman, W., Panageas, I., and Piliouras, G. (2021) · 2021
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Evolution Strategies for Approximate Solution of Bayesian Games
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Newton optimization on helmholtz decomposition for continuous games
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The surprising effectiveness of ppo in cooperative, multi-agent games
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Dynamics of market making algorithms in dealer markets: Learning and tacit collusion
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