26 citations · 203 across the 41 of their papers we have counts for
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q-fin.TR2022★ 2 cited
Model-based gym environments for limit order book trading
Joseph Jerome, Leandro Sanchez-Betancourt, Rahul Savani +1
Within the mathematical finance literature there is a rich catalogue of mathematical models for studying algorithmic trading problems -- such as market-making and optimal execution…
q-fin.TR2022
Market Making with Scaled Beta Policies
Joseph Jerome, Gregory Palmer, Rahul Savani
This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three ap…