Related papers: ABIDES-MARL: A Multi-Agent Reinforcement Learning …
Optimal order execution is widely studied by industry practitioners and academic researchers because it determines the profitability of investment decisions and high-level trading strategies, particularly those involving large volumes of…
This study investigates the development of an optimal execution strategy through reinforcement learning, aiming to determine the most effective approach for traders to buy and sell inventory within a finite time horizon. Our proposed model…
Agent-based models (ABMs) have shown promise for modelling various real world phenomena incompatible with traditional equilibrium analysis. However, a critical concern is the manual definition of behavioural rules in ABMs. Recent…
Modern financial exchanges use an electronic limit order book (LOB) to store bid and ask orders for a specific financial asset. As the most fine-grained information depicting the demand and supply of an asset, LOB data is essential in…
This paper develops a novel multi-agent reinforcement learning (MARL) framework for reinsurance treaty bidding, addressing long-standing inefficiencies in traditional broker-mediated placement processes. We pose the core research question:…
We present ABIDES-Economist, an agent-based simulator for economic systems that includes heterogeneous households, firms, a central bank, and a government. Agent behavior can be defined using domain-specific behavioral rules or learned…
This study investigates how Multi-Agent Reinforcement Learning (MARL) can improve dynamic pricing strategies in supply chains, particularly in contexts where traditional ERP systems rely on static, rule-based approaches that overlook…
Order execution is a fundamental task in quantitative finance, aiming at finishing acquisition or liquidation for a number of trading orders of the specific assets. Recent advance in model-free reinforcement learning (RL) provides a…
A central problem in the theory of multi-agent reinforcement learning (MARL) is to understand what structural conditions and algorithmic principles lead to sample-efficient learning guarantees, and how these considerations change as we move…
Model-free Reinforcement Learning (RL) requires the ability to sample trajectories by taking actions in the original problem environment or a simulated version of it. Breakthroughs in the field of RL have been largely facilitated by the…
We consider the dynamics and the interactions of multiple reinforcement learning optimal execution trading agents interacting with a reactive Agent-Based Model (ABM) of a financial market in event time. The model represents a market ecology…
We employ deep reinforcement learning (RL) to train an agent to successfully translate a high-frequency trading signal into a trading strategy that places individual limit orders. Based on the ABIDES limit order book simulator, we build a…
We introduce ABIDES, an Agent-Based Interactive Discrete Event Simulation environment. ABIDES is designed from the ground up to support AI agent research in market applications. While simulations are certainly available within trading firms…
Building on a previous foundation work (Lussange et al. 2020), this study introduces a multi-agent reinforcement learning (MARL) model simulating crypto markets, which is calibrated to the Binance's daily closing prices of $153$…
Multi-agent reinforcement learning (MARL) models multiple agents that interact and learn within a shared environment. This paradigm is applicable to various industrial scenarios such as autonomous driving, quantitative trading, and…
Dynamic pricing in competitive retail markets requires strategies that adapt to fluctuating demand and competitor behavior. In this work, we present a systematic empirical evaluation of multi-agent reinforcement learning (MARL)…
Multi-agent Reinforcement Learning (MARL) is a powerful tool for training autonomous agents acting independently in a common environment. However, it can lead to sub-optimal behavior when individual incentives and group incentives diverge.…
In this work, we present a continuous-time large-population game for modeling market microstructure betweentwo consecutive trades. The proposed modeling framework is inspired by our previous work [23]. In this framework, the Limit Order…
Real economies can be modeled as a sequential imperfect-information game with many heterogeneous agents, such as consumers, firms, and governments. Dynamic general equilibrium (DGE) models are often used for macroeconomic analysis in this…
Existing value-factorized based Multi-Agent deep Reinforce-ment Learning (MARL) approaches are well-performing invarious multi-agent cooperative environment under thecen-tralized training and decentralized execution(CTDE) scheme,where all…