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q-fin.TR2026
Can Reinforcement Learning Efficiently Discover Price Manipulation?
Ioanna-Yvonni Tsaknaki, Andrea Macrì, Fabrizio Lillo
In this paper, we investigate whether a model-free RL agent can identify and exploit price manipulation opportunities more effectively than a traditional model-based approach that…
q-fin.TR2023
Online Learning of Order Flow and Market Impact with Bayesian Change-Point Detection Methods
Ioanna-Yvonni Tsaknaki, Fabrizio Lillo, Piero Mazzarisi
Financial order flow exhibits a remarkable level of persistence, wherein buy (sell) trades are often followed by subsequent buy (sell) trades over extended periods. This persistenc…