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Dynamics of Market Making Algorithms in Dealer Markets: Learning and Tacit Collusion
16 references·1 citing·45 second hop
Dynamics of Market Making Algorithms in Dealer Markets: Learning and Tacit Collusion (2022)Dynamics of Market Making Algorithms in D…Recent advances in reinforcement learning in finance (2023)Recent advances in reinforcem…Artificial Intelligence, Algorithmic Pricing, and Collusion (2020)Artificial Intelligence, Algo…Learning in mean field games: The fictitious play (2016)Learning in mean field games:…Dealing with the inventory risk: a solution to the market making problem (2012)Dealing with the inventory ri…Buy Low Sell High: A High Frequency Trading Perspective (2011)Buy Low Sell High: A High Fre…High-frequency trading in a limit order book (2008)High-frequency trading in a l…-learning agents in a Cournot oligopoly model (2008)-learning agents in a Cournot…Risk Ownership in Contract Manufacturing (2007)Risk Ownership in Contract Ma…Tacit collusion in repeated auctions (2003)Tacit collusion in repeated a…Fictitious Play Property for Games with Identical Interests (1996)Fictitious Play Property for …The Dynamics of Dealer Markets Under Competition (1983)The Dynamics of Dealer Market…Point Processes and Queues (1981)Point Processes and QueuesOptimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Activity Analysis of Production and Allocation (1952)Activity Analysis of Producti…An Iterative Method of Solving a Game (1951)An Iterative Method of Solvin…SOME NOTES ON COMPUTATION OF GAMES SOLUTIONS (1949)SOME NOTES ON COMPUTATION OF …AI Driven Liquidity Provision in OTC Financial Markets (2022)AI Driven Liquidity Provision…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Liquidity and stock returns: An alternative test (1998)Over-the-Counter Markets (2004)High-Frequency Trading and Price Discovery (2014)COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)The Cost of Transacting (1968)Information Effects on the Bid-Ask Spread (1983)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Liquidity and Asset Prices (2006)The Flash Crash: High‐Frequency Trading in an Electronic Market (2017)1. Some Topics in Two-Person Games (1964)On the Global Convergence of Stochastic Fictitious Play (2002)Dynamic fictitious play, dynamic gradient play, and distributed convergence to Nash equilibria (2005)Autonomous Vehicle-Target Assignment: A Game-Theoretical Formulation (2007)The resource‐based view within the conversation of strategic management (1992)Information Distortion in a Supply Chain: The Bullwhip Effect (1997)Can Relationship Banking Survive Competition? (2000)Foundations of Inventory Management (2000)Distance, Lending Relationships, and Competition (2005)Supply Chain Coordination with Revenue-Sharing Contracts: Strengths and Limitations (2005)Equilibrium Points in Nonzero-Sum n -Person Submodular Games (1979)Evolutionary game dynamics (2003)Theory of Games and Economic Behavior (2006)Introduction to Multi-Armed Bandits (2019)Market microstructure theory (1995)Handbook of the Economics of Finance (2013)A Theory of Dynamic Oligopoly, II: Price Competition, Kinked Demand Curves, and Edgeworth Cycles (1988)Learning in extensive-form games: Experimental data and simple dynamic models in the intermediate term (1995)Predicting How People Play Games: Reinforcement Learning in Experimental Games with Unique, Mixed Strategy Equilibria (1998)Autonomous algorithmic collusion: Q‐learning under sequential pricing (2021)Bad machines corrupt good morals (2021)How to Talk When a Machine Is Listening: Corporate Disclosure in the Age of AI (2023)PORTFOLIO SELECTION* (1952)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Reinforcement Learning for Quantitative Trading (2023)Dynamic datasets and market environments for financial reinforcement learning (2024)RETRACTED ARTICLE: Integrating Deep Learning and Reinforcement Learning for Enhanced Financial Risk Forecasting in Supply Chain Management (2024)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Data envelopment analysis: The evolution of the state of the art (1978?1995) (1996)The impact of liberalization on the productive efficiency of Indian commercial banks (1997)Measuring Labor-Efficiency in Post Offices (2006)
this work references cited by second hop

References

  • 1981Point Processes and Queues1,652 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 1952Activity Analysis of Production and Allocation1,361 cited
  • 1951An Iterative Method of Solving a Game867 cited
  • 1983The Dynamics of Dealer Markets Under Competition783 cited
  • 2020Artificial Intelligence, Algorithmic Pricing, and Collusion666 cited
  • 2007Risk Ownership in Contract Manufacturing660 cited
  • 2008High-frequency trading in a limit order book496 cited
  • 1996Fictitious Play Property for Games with Identical Interests442 cited
  • 2023Recent advances in reinforcement learning in finance211 cited
  • 2012Dealing with the inventory risk: a solution to the market making problem207 cited
  • 2011Buy Low Sell High: A High Frequency Trading Perspective199 cited
  • 2003Tacit collusion in repeated auctions165 cited
  • 2008-learning agents in a Cournot oligopoly model136 cited
  • 2016Learning in mean field games: The fictitious play123 cited
  • 1949SOME NOTES ON COMPUTATION OF GAMES SOLUTIONS92 cited

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Cited by

  • 2022AI Driven Liquidity Provision in OTC Financial Markets21 cited