36 citations · 37 across the 2 of their papers we have counts for
2 papers
cs.LG2022★ 1 cited
Imitate then Transcend: Multi-Agent Optimal Execution with Dual-Window Denoise PPO
Jin Fang, Jiacheng Weng, Yi Xiang +1
A novel framework for solving the optimal execution and placement problems using reinforcement learning (RL) with imitation was proposed. The RL agents trained from the proposed fr…
q-fin.TR2020★ 36 cited
Multi-Agent Reinforcement Learning in a Realistic Limit Order Book Market Simulation
Michaël Karpe, Jin Fang, Zhongyao Ma +1
Optimal order execution is widely studied by industry practitioners and academic researchers because it determines the profitability of investment decisions and high-level trading…