3 citations · 3 across the 5 of their papers we have counts for
3 papers · 1 filter
When AI Trading Agents Compete: Adverse Selection of Meta-Orders by Reinforcement Learning-Based Market Making
Ali Raza Jafree, Konark Jain, Nick Firoozye
We investigate the mechanisms by which medium-frequency trading agents are adversely selected by opportunistic high-frequency traders. We use reinforcement learning (RL) within a H…
An Impulse Control Approach to Market Making in a Hawkes LOB Market
Konark Jain, Nick Firoozye, Jonathan Kochems +1
We study the optimal Market Making problem in a Limit Order Book (LOB) market simulated using a high-fidelity, mutually exciting Hawkes process. Departing from traditional Brownian…
(Non-Parametric) Bootstrap Robust Optimization for Portfolios and Trading Strategies
Daniel Cunha Oliveira, Grover Guzman, Nick Firoozye
Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio op…