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We consider issues of time in automated trading strategies in simulated financial markets containing a single exchange with public limit order book and continuous double auction matching. In particular, we explore two effects: (i) reaction…
For more than a decade Vytelingum's Adaptive-Aggressive (AA) algorithm has been recognized as the best-performing automated auction-market trading-agent strategy currently known in the AI/Agents literature; in this paper, we demonstrate…
Algorithmic trading in modern financial markets is widely acknowledged to exhibit strategic, game-theoretic behaviors whose complexity can be difficult to model. A recent series of papers (Chriss, 2024b,c,a, 2025) has made progress in the…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trading takes place asynchronously through a matching engine in…
Financial firms are interested in simulation to discover whether a given algorithm involving financial machine learning will operate profitably. While many versions of this type of algorithm have been published recently by researchers, the…
In recent years, machine learning has become prevalent in numerous tasks, including algorithmic trading. Stock market traders utilize machine learning models to predict the market's behavior and execute an investment strategy accordingly.…
The development of open benchmarking platforms could greatly accelerate the adoption of AI agents in retail. This paper presents comprehensive simulations of customer shopping behaviors for the purpose of benchmarking reinforcement learning…
This paper explores the utility of agent-based simulations in realistically modelling market structures and sheds light on the nuances of optimal dealer strategies. It underscores the contrast between conclusions drawn from probabilistic…
We run experimental asset markets to investigate the emergence of excess trading and the occurrence of synchronised trading activity leading to crashes in the artificial markets. The market environment favours early investment in the risky…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…
In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours…
Recent advances in the fields of machine learning and neurofinance have yielded new exciting research perspectives in practical inference of behavioural economy in financial markets and microstructure study. We here present the latest…
A speculative agent with Prospect Theory preference chooses the optimal time to purchase and then to sell an indivisible risky asset to maximize the expected utility of the round-trip profit net of transaction costs. The optimization…
In multi-agent reinforcement learning systems, the actions of one agent can have a negative impact on the rewards of other agents. One way to combat this problem is to let agents trade their rewards amongst each other. Motivated by this,…
Algorithms increasingly automate bidding in online auctions, raising concerns about tacit bid suppression and revenue shortfalls. Prior work identifies individual mechanisms behind algorithmic bid suppression, but it remains unclear which…
We consider the first, and most well studied, speed scaling problem in the algorithmic literature: where the scheduling quality of service measure is a deadline feasibility constraint, and where the power objective is to minimize the total…
AI agents are increasingly deployed in complex, interactive environments, yet their runtime remains a major bottleneck for training, evaluation, and real-world use. Typical agent behavior unfolds sequentially, with each action requiring an…
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution…
There's a long tradition of research using computational intelligence (methods from artificial intelligence (AI) and machine learning (ML)), to automatically discover, implement, and fine-tune strategies for autonomous adaptive automated…