Order scoring, bandit learning and order cancellations-Reference-Cited by-同舟云学术

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Order scoring, bandit learning and order cancellations

Published:2022-01 Issue: Volume:134 Page:104287
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Gao Xuefeng,Xu Tianrun

Funder

University Grants Committee Research Grants Council

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference47 articles.

1. Optimal allocation strategies for the dark pool problem;Agarwal,2010

2. Analysis of thompson sampling for the multi-armed bandit problem;Agrawal,2012

3. Online learning in limit order book trade execution;Akbarzadeh;IEEE Trans. Signal Process.,2018

4. Stochastic multi-armed-bandit problem with non-stationary rewards;Besbes;Adv Neural Inf Process Syst,2014

5. Regret analysis of stochastic and nonstochastic multi-armed bandit problems;Bubeck;Foundations and Trends® in Machine Learning,2012

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Market price determination: Interpreting quote order imbalance under zero-profit equilibrium;Economic Modelling;2024-05

2. Market Making under Order Stacking Framework: A Deep Reinforcement Learning Approach;3rd ACM International Conference on AI in Finance;2022-10-26

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