108 citations · 435 across the 38 of their papers we have counts for
38 papers
Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference
Daniel Polakow, Tim Gebbie, Emlyn Flint
The clarion call for causal reduction in the study of capital markets is intensifying. However, in self-referencing and open systems such as capital markets, the idea of unidirecti…
Variations on the Reinforcement Learning performance of Blackjack
Avish Buramdoyal, Tim Gebbie
Blackjack or "21" is a popular card-based game of chance and skill. The objective of the game is to win by obtaining a hand total higher than the dealer's without exceeding 21. The…
Many learning agents interacting with an agent-based market model
Matthew Dicks, Andrew Paskaramoorthy, Tim Gebbie
We consider the dynamics and the interactions of multiple reinforcement learning optimal execution trading agents interacting with a reactive Agent-Based Model (ABM) of a financial…
A simple learning agent interacting with an agent-based market model
Matthew Dicks, Andrew Paskaramoorthy, Tim Gebbie
We consider the learning dynamics of a single reinforcement learning optimal execution trading agent when it interacts with an event driven agent-based financial market model. Trad…
Simulation and estimation of an agent-based market-model with a matching engine
Ivan Jericevich, Patrick Chang, Tim Gebbie
An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provid…
The efficient frontiers of mean-variance portfolio rules under distribution misspecification
Andrew Paskaramoorthy, Tim Gebbie, Terence van Zyl
Mean-variance portfolio decisions that combine prediction and optimisation have been shown to have poor empirical performance. Here, we consider the performance of various shrinkag…