create a website

Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO. (2022). Xiang, YI ; Zhang, Xinwen ; Fang, Jin ; Weng, Jiacheng.
In: Papers.
RePEc:arx:papers:2206.10736.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 38

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adam Grimes. The art and science of technical analysis: market structure, price action, and trading strategies, volume 544. John Wiley & Sons, 2012.
    Paper not yet in RePEc: Add citation now
  2. Angelo Ranaldo. Order aggressiveness in limit order book markets. Journal of Financial Markets, 7(1):53–74, 2004.

  3. Anna A Obizhaeva and Jiang Wang. Optimal trading strategy and supply/demand dynamics. Journal of Financial Markets, 16(1):1–32, 2013.

  4. Ashish Vaswani, Noam Shazeer, Niki Parmar, Jakob Uszkoreit, Llion Jones, Aidan N Gomez, Łukasz Kaiser, and Illia Polosukhin. Attention is all you need. Advances in neural information processing systems, 30, 2017.
    Paper not yet in RePEc: Add citation now
  5. Łukasz Kidziński, Sharada Prasanna Mohanty, Carmichael F Ong, Zhewei Huang, Shuchang Zhou, Anton Pechenko, Adam Stelmaszczyk, Piotr Jarosik, Mikhail Pavlov, Sergey Kolesnikov, et al. Learning to run challenge solutions: Adapting reinforcement learning methods for neuromusculoskeletal environments. In The NIPS’17 Competition: Building Intelligent Systems, pages 121–153. Springer, 2018.
    Paper not yet in RePEc: Add citation now
  6. Brian Ning, Franco Ho Ting Lin, and Sebastian Jaimungal. Double deep q-learning for optimal execution. arXiv preprint arXiv:1812.06600, 2018.
    Paper not yet in RePEc: Add citation now
  7. Charles Cao, Oliver Hansch, and Xiaoxin Wang. The information content of an open limitorder book. Journal of Futures Markets: Futures, Options, and Other Derivative Products, 29(1):16–41, 2009.

  8. Charles MC Lee and Mark J Ready. Inferring trade direction from intraday data. The Journal of Finance, 46(2):733–746, 1991.

  9. Colin Lea, Michael D Flynn, Rene Vidal, Austin Reiter, and Gregory D Hager. Temporal convolutional networks for action segmentation and detection. In proceedings of the IEEE Conference on Computer Vision and Pattern Recognition, pages 156–165, 2017.
    Paper not yet in RePEc: Add citation now
  10. David Byrd, Maria Hybinette, and Tucker Hybinette Balch. Abides: Towards high-fidelity multiagent market simulation. In Proceedings of the 2020 ACM SIGSIM Conference on Principles of Advanced Discrete Simulation, pages 11–22, 2020.
    Paper not yet in RePEc: Add citation now
  11. Dimitris Bertsimas and Andrew W Lo. Optimal control of execution costs. Journal of Financial Markets, 1(1):1–50, 1998.

  12. Hado Van Hasselt, Arthur Guez, and David Silver. Deep reinforcement learning with double q-learning. In Proceedings of the AAAI conference on artificial intelligence, volume 30, 2016.
    Paper not yet in RePEc: Add citation now
  13. Hendrik Bessembinder. The degree of price resolution and equity trading costs. Journal of Financial Economics, 45(1):9–34, 1997.

  14. Henrik Hult and Jonas Kiessling. Algorithmic trading with markov chains. 2010.
    Paper not yet in RePEc: Add citation now
  15. Hua He and Harry Mamaysky. Dynamic trading policies with price impact. Journal of Economic Dynamics and Control, 29(5):891–930, 2005.

  16. James P Weston. Competition on the nasdaq and the impact of recent market reforms. The Journal of Finance, 55(6):2565–2598, 2000.

  17. Jin Fang, Michaël Karpe, Zhongyao Ma, and Chen Wang. Multi-agent reinforcement learning in a realistic limit order book market simulation. In Proceedings of the First ACM International Conference on AI in Finance, ICAIF ’20, New York, NY, USA, 2020. Association for Computing Machinery.

  18. Jinliang Li and Chunchi Wu. Daily return volatility, bid-ask spreads, and information flow: Analyzing the information content of volume. The Journal of Business, 79(5):2697–2739, 2006.

  19. Joel Hasbrouck. Securities trading: Principles and procedures. Manuscript, version, 12, 2017.
    Paper not yet in RePEc: Add citation now
  20. John J Murphy. Technical analysis of the financial markets: A comprehensive guide to trading methods and applications. Penguin, 1999.
    Paper not yet in RePEc: Add citation now
  21. John Schulman, Filip Wolski, Prafulla Dhariwal, Alec Radford, and Oleg Klimov. Proximal policy optimization algorithms. arXiv preprint arXiv:1707.06347, 2017.
    Paper not yet in RePEc: Add citation now
  22. John Schulman, Sergey Levine, Pieter Abbeel, Michael Jordan, and Philipp Moritz. Trust region policy optimization. In International conference on machine learning, pages 1889–1897. PMLR, 2015.
    Paper not yet in RePEc: Add citation now
  23. Jon Danielsson and Richard Payne. Measuring and explaining liquidity on an electronic limit order book: evidence from reuters d2000-2. Available at SSRN 276541, 2001.
    Paper not yet in RePEc: Add citation now
  24. Joonho Lee, Jemin Hwangbo, Lorenz Wellhausen, Vladlen Koltun, and Marco Hutter. Learning quadrupedal locomotion over challenging terrain. Science robotics, 5(47):eabc5986, 2020.
    Paper not yet in RePEc: Add citation now
  25. Kalman J Cohen, Steven F Maier, Robert A Schwartz, and David K Whitcomb. Transaction costs, order placement strategy, and existence of the bid-ask spread. Journal of political economy, 89(2):287–305, 1981.

  26. Kevin Dabérius, Elvin Granat, and Patrik Karlsson. Deep execution-value and policy based reinforcement learning for trading and beating market benchmarks. Available at SSRN 3374766, 2019.
    Paper not yet in RePEc: Add citation now
  27. Marco Avellaneda, Josh Reed, and Sasha Stoikov. Forecasting prices from level-i quotes in the presence of hidden liquidity. Algorithmic Finance, 1(1):35–43, 2011.

  28. Martin D Gould and Julius Bonart. Queue imbalance as a one-tick-ahead price predictor in a limit order book. Market Microstructure and Liquidity, 2(02):1650006, 2016.
    Paper not yet in RePEc: Add citation now
  29. Matthias Schnaubelt. Deep reinforcement learning for the optimal placement of cryptocurrency limit orders. European Journal of Operational Research, 296(3):993–1006, 2022.

  30. Meng Li, William Hsu, Xiaodong Xie, Jason Cong, and Wen Gao. Sacnn: Self-attention convolutional neural network for low-dose ct denoising with self-supervised perceptual loss network. IEEE transactions on medical imaging, 39(7):2289–2301, 2020.
    Paper not yet in RePEc: Add citation now
  31. Michael S Piwowar and Li Wei. The sensitivity of effective spread estimates to trade–quote matching algorithms. Electronic Markets, 16(2):112–129, 2006.
    Paper not yet in RePEc: Add citation now
  32. Robert Almgren and Neil Chriss. Optimal execution of portfolio transactions. Journal of Risk, 3:5–40, 2001.
    Paper not yet in RePEc: Add citation now
  33. Roger D Huang and Hans R Stoll. Dealer versus auction markets: A paired comparison of execution costs on nasdaq and the nyse. Journal of Financial economics, 41(3):313–357, 1996.

  34. Roy Fox, Ari Pakman, and Naftali Tishby. Taming the noise in reinforcement learning via soft updates. arXiv preprint arXiv:1512.08562, 2015.
    Paper not yet in RePEc: Add citation now
  35. Volodymyr Mnih, Koray Kavukcuoglu, David Silver, Alex Graves, Ioannis Antonoglou, Daan Wierstra, and Martin Riedmiller. Playing atari with deep reinforcement learning. arXiv preprint arXiv:1312.5602, 2013.
    Paper not yet in RePEc: Add citation now
  36. Xin Guo, Adrien De Larrard, and Zhao Ruan. Optimal placement in a limit order book: an analytical approach. Mathematics and Financial Economics, 11(2):189–213, 2017.
    Paper not yet in RePEc: Add citation now
  37. Xin Guo, Tze Leung Lai, Howard Shek, and Samuel Po-Shing Wong. Quantitative trading: algorithms, analytics, data, models, optimization. Chapman and Hall/CRC, 2017.
    Paper not yet in RePEc: Add citation now
  38. Yuriy Nevmyvaka, Yi Feng, and Michael Kearns. Reinforcement learning for optimized trade execution. In Proceedings of the 23rd international conference on Machine learning, pages 673–680, 2006.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Information revelation in the Greek exchange opening call: Daily and intraday evidence. (2015). Papachristou, George ; Kanas, Angelos ; Anagnostidis, Panagiotis.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:167-184.

    Full description at Econpapers || Download paper

  2. The Microstructure of Trading Processes on the Singapore Exchange. (2013). Murphy Jun Jie Lee, .
    In: PhD Thesis.
    RePEc:uts:finphd:4.

    Full description at Econpapers || Download paper

  3. The information content of a limit order book: The case of an FX market. (2012). Salmon, Mark ; Kozhan, Roman.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:1:p:1-28.

    Full description at Econpapers || Download paper

  4. Limit order books and trade informativeness. (2011). Menkveld, Albert ; Grammig, Joachim G. ; Beltran-Lopez, Helena .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201109.

    Full description at Econpapers || Download paper

  5. Time and the price impact of a trade: A structural approach. (2011). Theissen, Erik ; Wunsche, Oliver ; Grammig, Joachim G..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201108.

    Full description at Econpapers || Download paper

  6. Multistate asymmetric ACD model: an application to order dynamics in the EUR/PLN spot market. (2011). Bień-Barkowska, Katarzyna.
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:104.

    Full description at Econpapers || Download paper

  7. Distribution Choice for the Asymmetric ACD Models. (2011). Bień-Barkowska, Katarzyna.
    In: Dynamic Econometric Models.
    RePEc:cpn:umkdem:v:11:y:2011:p:55-72.

    Full description at Econpapers || Download paper

  8. Order aggressiveness and quantity: How are they determined in a limit order market?. (2010). Lo, Ingrid ; Sapp, Stephen G..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:213-237.

    Full description at Econpapers || Download paper

  9. Order aggressiveness and the diagonal effect in experimental double auction markets. (2010). Majois, Christophe.
    In: Economics Letters.
    RePEc:eee:ecolet:v:107:y:2010:i:2:p:304-309.

    Full description at Econpapers || Download paper

  10. Order aggressiveness as a metric to assess the usefulness of accounting information. (2010). Perotti, Pietro.
    In: The International Journal of Accounting.
    RePEc:eee:accoun:v:45:y:2010:i:3:p:306-333.

    Full description at Econpapers || Download paper

  11. Limit-Order Submission Strategies under Asymmetric Information. (2010). Schmeling, Maik ; Osler, Carol ; Menkhoff, Lukas.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3054.

    Full description at Econpapers || Download paper

  12. Modelling and forecasting liquidity supply using semiparametric factor dynamics. (2009). Mihoci, Andrija ; Hautsch, Nikolaus ; Hardle, Wolfgang Karl.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200918.

    Full description at Econpapers || Download paper

  13. Algorithmic trading engines versus human traders: Do they behave different in securities markets?. (2009). Gomber, Peter ; Gsell, Markus .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200910.

    Full description at Econpapers || Download paper

  14. Order submission behaviors and opening price behaviors: evidence from an emerging market. (2009). Wang, Zi-May ; Lai, Hsiu-Ling ; Chiao, Chaoshin.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:33:y:2009:i:3:p:253-278.

    Full description at Econpapers || Download paper

  15. Exchange rate management in emerging markets: Intervention via an electronic limit order book. (2009). Schmeling, Maik ; Menkhoff, Lukas ; Melvin, Michael.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:79:y:2009:i:1:p:54-63.

    Full description at Econpapers || Download paper

  16. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext. (2009). Giot, Pierre ; Durré, Alain ; Beltran, Helena ; Durre, Alain.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:20:y:2009:i:1:p:80-97.

    Full description at Econpapers || Download paper

  17. Anonymity, liquidity and fragmentation. (2009). Tang, Kar Mei ; Comerton-Forde, Carole.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:3:p:337-367.

    Full description at Econpapers || Download paper

  18. Technology and liquidity provision: The blurring of traditional definitions. (2009). Hasbrouck, Joel ; Saar, Gideon.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:2:p:143-172.

    Full description at Econpapers || Download paper

  19. Monitoring and limit order submission risks. (2009). Liu, Wai-Man.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:12:y:2009:i:1:p:107-141.

    Full description at Econpapers || Download paper

  20. Do stylised facts of order book markets need strategic behaviour?. (2009). Schenk-Hoppé, Klaus ; Ladley, Daniel ; Schenk-Hoppe, Klaus Reiner.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:4:p:817-831.

    Full description at Econpapers || Download paper

  21. Exchange Rate Management in Emerging Markets: Intervention via an Electronic Limit Order Book. (2009). Schmeling, Maik ; Menkhoff, Lukas ; Melvin, Michael.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2656.

    Full description at Econpapers || Download paper

  22. Does algorithmic trading improve liquidity?. (2008). Menkveld, Albert ; Hendershott, Terrence ; Jones, Charles M..
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200841.

    Full description at Econpapers || Download paper

  23. Quantifying the efficiency of the Xetra LOB market: Detailed recipe. (2008). Sperl, Miriam .
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200821.

    Full description at Econpapers || Download paper

  24. Order Dynamics in the Italian Treasury Security Wholesale Secondary Market. (2008). Ginebri, Sergio ; Coluzzi, Chiara .
    In: Economics & Statistics Discussion Papers.
    RePEc:mol:ecsdps:esdp08050.

    Full description at Econpapers || Download paper

  25. Liquidity on the Scandinavian Order-driven Stock Exchanges. (2008). Soderberg, Jonas.
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_011.

    Full description at Econpapers || Download paper

  26. Do Macroeconomic Variables Forecast Changes in Liquidity? An Out-of-sample Study on the Order-driven Stock Markets in Scandinavia. (2008). Soderberg, Jonas.
    In: CAFO Working Papers.
    RePEc:hhs:vxcafo:2009_010.

    Full description at Econpapers || Download paper

  27. Empirical shape function of limit-order books in the Chinese stock market. (2008). Zhou, Wei-Xing ; Chen, Wei ; Gu, Gao-Feng.
    In: Papers.
    RePEc:arx:papers:0801.3712.

    Full description at Econpapers || Download paper

  28. Pre-trade transparency and market quality. (2007). Eom, Kyong Shik ; Park, Jong-Ho ; Ok, Jinho.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:4:p:319-341.

    Full description at Econpapers || Download paper

  29. Modelling the buy and sell intensity in a limit order book market. (2007). Hall, Anthony ; Hautsch, Nikolaus.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:3:p:249-286.

    Full description at Econpapers || Download paper

  30. Liquidity supply in electronic markets. (2007). McInish, Thomas ; Aitken, Michael ; Almeida, Niall ; deB. Harris, Frederick H., .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:10:y:2007:i:2:p:144-168.

    Full description at Econpapers || Download paper

  31. Order dynamics: Recent evidence from the NYSE. (2007). Jain, Pankaj ; Ellul, Andrew ; Jennings, Robert ; Holden, Craig W..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:5:p:636-661.

    Full description at Econpapers || Download paper

  32. Liquidity supply and adverse selection in a pure limit order book market. (2006). Grammig, Joachim ; Frey, Stefan.
    In: Empirical Economics.
    RePEc:spr:empeco:v:30:y:2006:i:4:p:1007-1033.

    Full description at Econpapers || Download paper

  33. America and the Swiss Stock Exchange: An Intraday Analysis. (2006). Mittermayer, Marc-Andre ; Loderer, Claudio.
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:2006-i-3.

    Full description at Econpapers || Download paper

  34. A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market. (2006). Zheng, Xiaoyong ; Han, Zhaohui ; Tyurin, Konstantin ; Chakrabarty, Bidisha.
    In: CAEPR Working Papers.
    RePEc:inu:caeprp:2006015.

    Full description at Econpapers || Download paper

  35. Informed and strategic order flow in the bond markets. (2006). Vega, Clara ; Pasquariello, Paolo.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:874.

    Full description at Econpapers || Download paper

  36. Does the open limit order book matter in explaining long run volatility ?. (2006). Veredas, David ; PASCUAL, ROBERTO.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2006110.

    Full description at Econpapers || Download paper

  37. Optimal Trading Strategy and Supply/Demand Dynamics. (2005). Obizhaeva, Anna ; Wang, Jiang.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11444.

    Full description at Econpapers || Download paper

  38. LIQUIDITY AND INFORMATION AROUND ANNUAL EARNINGS ANNOUNCEMENTS: AN INTRADAY ANALYSIS OF THE SPANISH STOCK MARKET. (2005). Sanabria, Sonia ; Yague, Jose ; Abad, David.
    In: Working Papers. Serie EC.
    RePEc:ivi:wpasec:2005-16.

    Full description at Econpapers || Download paper

  39. Liquidity commonality and return co-movement. (2005). Domowitz, Ian ; Wang, Xiaoxin ; Hansch, Oliver .
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:8:y:2005:i:4:p:351-376.

    Full description at Econpapers || Download paper

  40. The speed of limit order execution in the Spanish stock exchange. (2005). Gava, Luana.
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb057718.

    Full description at Econpapers || Download paper

  41. Volatility regimes and the provision of liquidity in order book markets. (2005). Giot, Pierre ; Durré, Alain ; Beltran, Helena ; Durre, Alain.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2005012.

    Full description at Econpapers || Download paper

  42. A piecewise linear model for trade sign inference. (2004). Coggins, Richard ; Blazejewski, Adam .
    In: Finance.
    RePEc:wpa:wuwpfi:0412012.

    Full description at Econpapers || Download paper

  43. A local non-parametric model for trade sign inference. (2004). Coggins, Richard ; Blazejewski, Adam .
    In: Finance.
    RePEc:wpa:wuwpfi:0408009.

    Full description at Econpapers || Download paper

  44. A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market. (2004). Hall, Anthony ; Hautsch, Nikolaus.
    In: Research Paper Series.
    RePEc:uts:rpaper:121.

    Full description at Econpapers || Download paper

  45. ESTIMATING THE PROBABILITY OF INFORMED TRADING: FURTHER EVIDENCE FROM AN ORDER-DRIVEN MARKET. (2004). Abad, David ; Rubia, Antonio.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2004-38.

    Full description at Econpapers || Download paper

  46. Understanding limit order book depth: conditioning on trade informativeness. (2004). Menkveld, Albert ; Beltran, Helena .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:142.

    Full description at Econpapers || Download paper

  47. Duration and Order Type Clusters. (2004). Ng, Wing Lon.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:730.

    Full description at Econpapers || Download paper

  48. Duration and Order Type Clusters. (2004). Ng, Wing Lon.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:272.

    Full description at Econpapers || Download paper

  49. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2005015.

    Full description at Econpapers || Download paper

  50. What pieces of limit order book information are informative ?. (2004). Veredas, David ; PASCUAL, ROBERTO.
    In: LIDAM Discussion Papers CORE.
    RePEc:cor:louvco:2004033.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-04 00:15:02 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.