Order scoring, bandit learning and order cancellations

DOI10.1016/j.jedc.2021.104287OpenAlexW3215712788MaRDI QIDQ2115951

Xuefeng Gao, Tianrun Xu

Publication date: 15 March 2022

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104287

zbMATH Keywords

limit order bookorder cancellationmulti armed banditorder scoring

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• AdaBoost.MH

Cites Work

• Unnamed Item
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• An Introduction to Statistical Learning
• Optimal market making in the presence of latency
• Deep learning for limit order books
• Optimal Split of Orders Across Liquidity Pools: A Stochastic Algorithm Approach
• Regret Analysis of Stochastic and Nonstochastic Multi-armed Bandit Problems

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