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Deeper Hedging: A New Agent-based Model for Effective Deep Hedging
With the proposed Chiarella-Heston model, we generate a training dataset to train a deep hedging agent for optimal hedging strategies under various transaction cost levels.
High-frequency financial market simulation and flash crash scenarios analysis: an agent-based modelling approach
We scrutinise the market dynamics during the simulated flash crash and show that the simulated dynamics are consistent with what happened in historical flash crash scenarios.
Understanding intra-day price formation process by agent-based financial market simulation: calibrating the extended chiarella model
It is shown that the machine learning surrogate learned in the proposed method is an accurate proxy of the true agent-based market simulation.
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