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08/09/2023
Variations on the Reinforcement Learning performance of Blackjack
Blackjack or "21" is a popular card-based game of chance and skill. The ...
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03/13/2023
Many learning agents interacting with an agent-based market model
We consider the dynamics and the interactions of multiple reinforcement ...
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08/22/2022
A simple learning agent interacting with an agent-based market model
We consider the learning dynamics of a single reinforcement learning opt...
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08/17/2021
Simulation and estimation of an agent-based market-model with a matching engine
An agent-based model with interacting low frequency liquidity takers int...
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05/05/2021
Simulation and estimation of a point-process market-model with a matching engine
The extent to which a matching engine can cloud the modelling of underly...
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04/20/2021
Calibrating an adaptive Farmer-Joshi agent-based model for financial markets
We replicate the contested calibration of the Farmer and Joshi agent bas...
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02/22/2021
CoinTossX: An open-source low-latency high-throughput matching engine
We deploy and demonstrate the CoinTossX low-latency, high-throughput, op...
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03/30/2020
A Framework for Online Investment Algorithms
The artificial segmentation of an investment management process into a w...
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03/05/2020
Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
We implement and test kernel averaging Non-Uniform Fast-Fourier Transfor...
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08/02/2019
Agglomerative Fast Super-Paramagnetic Clustering
We consider the problem of fast time-series data clustering. Building on...
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03/06/2019
Learning the population dynamics of technical trading strategies
We use an adversarial expert based online learning algorithm to learn th...
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10/05/2018
An Introduction to fast-Super Paramagnetic Clustering
We map stock market interactions to spin models to recover their hierarc...
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03/17/2014