How do traders process and learn from market information, what trading strategies should they use, and how does learning affect the market? This paper proposes a two-sided learning model of an artificial limit order market with asymmetric information to address these issues. Using a genetic...

By incorporating behavioral sentiment to a model of limit order market, we show that behavioral sentiment not only helps to replicate most of the stylized facts simultaneously in limit order markets, but also plays a unique role in explaining these stylized facts that cannot be explained by...

How do traders process and learn from market information, what trading strategies should they use, and how does learning affect the market? This paper proposes a learning model of an articial limit order market with asymmetric information to address these issues. Using a genetic algorithm as a...

This paper examines the effect of behavioral sentiment in a limit order market when agents are risk averse and arrive in the market with different time horizons. The order submission rules with respect to order type and size are determined by maximizing the expected utility of agents with...

High-frequency trading (HFT) based on artificial intelligence (AI) has been quickly adopted as market practice and its impact on investors' trading behavior and financial market has raised an increasing concern about managing AI in finance. Due to the extreme diversity and complexity of FinTech...