所属栏目:资本市场/市场微观结构

Reinforcement Learning and Trading on Noise in Limit Order Markets
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发布日期:2026年03月29日 上次修订日期:2026年03月29日

摘要

This paper introduces reinforcement learning to examine the effect of trading on noise in a dynamic limit order market equilibrium. It shows that intensive noise liquidity provision (consumption) increases speculators' liquidity consumption (provision), improving (reducing) market liquidity. Channeled by uninformed chasing and informed aggressive liquidity provision, the increasing noise liquidity provision and consumption, respectively, improve price efficiency, generating a U-shaped price efficiency to the noise trading uncertainty on liquidity provision and consumption. Associated with a hump-shaped (U-shaped) profitability for the informed (uninformed) at a U-shaped noise trading cost in the noise trading uncertainty, this implies that, at increasing noise trading cost, intensive noise liquidity provision improves market liquidity, price efficiency, order profitability of informed traders, and reduces the loss, even makes profit, for uninformed traders.
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高杏; Xue-Zhong He; 林兟 Reinforcement Learning and Trading on Noise in Limit Order Markets (2026年03月29日) https://www.cfrn.com.cn/lw/16650

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