The creative destruction wrought by high-frequency algorithmic trading has raised
increasing concerns about the effect of machine learning behaviors and ultra high-frequency …

This paper shows that simple payoff-based reinforcement learning can help to achieve
rational expectations equilibrium in limit order markets. In equilibrium, speculators mainly …

This paper introduces an information-based reinforcement learning to exploit information
channels to traders' trading behavior in an equilibrium limit order market. Anticipating that …

The creative destruction wrought by high-frequency algorithmic tradinghas raised increasing
concerns about the eect of machine learning behaviorsand ultra high-frequency trading in …

This paper studies inter-trade durations in the NASDAQ limit order market and finds that inter-
trade durations in ultra-high frequency have two modes. One mode is to the order of …