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Learning in the Dark: Size-Based Execution Priority in Dark Pools under Reinforcement Learning

https://doi.org/10.2139/ssrn.6176870
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Markov Perfect Equilibrium
inferredcites →https://doi.org/10.1006/jfin.1999.0266openalex-snapshot
Minimum Price Variations, Time Priority, and Quote Dynamics
inferredcites →https://doi.org/10.1016/j.econmod.2023.106376openalex-snapshot
Information and optimal trading strategies with dark pools
inferredcites →https://doi.org/10.1016/j.finmar.2019.05.001openalex-snapshot
Make-take decisions under high-frequency trading competition
inferredcites →https://doi.org/10.1016/j.jbankfin.2015.11.019openalex-snapshot
Chasing trends at the micro-level: The effect of technical trading on order book dynamics
inferredcites →https://doi.org/10.1016/j.jeconom.2010.03.028openalex-snapshot
Ultra high frequency volatility estimation with dependent microstructure noise
inferredcites →https://doi.org/10.1016/j.jfineco.2008.08.002openalex-snapshot
Informed traders and limit order markets
inferredcites →https://doi.org/10.1016/j.jfineco.2015.03.004openalex-snapshot
Equilibrium fast trading
inferredcites →https://doi.org/10.1016/j.jfineco.2016.02.002openalex-snapshot
Dark pool trading strategies, market quality and welfare
inferredcites →https://doi.org/10.1016/j.jfineco.2017.03.004openalex-snapshot
Shades of darkness: A pecking order of trading venues
inferredcites →https://doi.org/10.1016/s1573-448x(06)03030-5openalex-snapshot
Chapter 30 A Framework for Applied Dynamic Analysis in IO
inferredcites →https://doi.org/10.1016/s1574-0102(03)01010-0openalex-snapshot
Financial Innovation
inferredcites →https://doi.org/10.1017/s0022109022001521openalex-snapshot
Trader Competition in Fragmented Markets: Liquidity Supply Versus Picking-Off Risk
inferredcites →https://doi.org/10.1093/ectj/utaa005openalex-snapshot
Artificial intelligence as structural estimation: Deep Blue, Bonanza, and AlphaGo
inferredcites →https://doi.org/10.1093/rfs/hht078openalex-snapshot
Do Dark Pools Harm Price Discovery?
inferredcites →https://doi.org/10.1093/rfs/hhw112openalex-snapshot
Size Discovery
inferredcites →https://doi.org/10.1093/rfs/hhz025openalex-snapshot
To FinTech and Beyond
inferredcites →https://doi.org/10.1093/rof/rfu027openalex-snapshot
The Impact of Dark Trading and Visible Fragmentation on Market Quality
inferredcites →https://doi.org/10.1093/scipol/scv077openalex-snapshot
Twenty challenges for innovation studies
inferredcites →https://doi.org/10.1111/1468-0262.00241openalex-snapshot
Stochastic Algorithms, Symmetric Markov Perfect Equilibrium, and the 'curse' of Dimensionality
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00795.xopenalex-snapshot
Equilibrium in a Dynamic Limit Order Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00822.xopenalex-snapshot
Financial Market Design and the Equity Premium: Electronic versus Floor Trading
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01004.xopenalex-snapshot
Estimating the Gains from Trade in Limit‐Order Markets
inferredcites →https://doi.org/10.1257/002205104773558065openalex-snapshot
Empirical Studies of Financial Innovation: Lots of Talk, Little Action?
inferredcites →https://doi.org/10.1257/pandp.20221059openalex-snapshot
Artificial Intelligence, Algorithm Design, and Pricing
inferredcites →https://doi.org/10.1287/mnsc.2018.3204openalex-snapshot
Price Improvement and Execution Risk in Lit and Dark Markets
inferredcites →https://doi.org/10.1287/opre.2022.2406openalex-snapshot
Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor–Critic Approach
inferredcites →https://doi.org/10.3386/w25972openalex-snapshot
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