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Multi-Agent Reinforcement Learning in a Realistic Limit Order Book Market Simulation
Optimal order execution is widely studied by industry practitioners and academic researchers because it determines the profitability of investment decisions and high-level trading strategies, particularly those involving large volumes of orders.
An overall view of key problems in algorithmic trading and recent progress
We summarize the fundamental issues at stake in algorithmic trading, and the progress made in this field over the last twenty years.
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