PTMC is a proposed Monte Carlo estimator that generates market-outcome distributions by simulating continuous double-auction interactions among persona-conditioned neural-policy bots whose heterogeneity is drawn from a learned distribution.
The price dynamics of common trading strategies
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abstract
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility.
fields
cs.LG 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
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Persona-Trained Monte Carlo: Estimating Market-Outcome Distributions via Swarms of Persona-Conditioned Neural Policy Bots in a Limit Order Book
PTMC is a proposed Monte Carlo estimator that generates market-outcome distributions by simulating continuous double-auction interactions among persona-conditioned neural-policy bots whose heterogeneity is drawn from a learned distribution.