mlsanityData to 14 Oct 2026

Towards a fully RL-based Market Simulator

arXiv 2110.06829 ↗First posted 13 Oct 2021cs.MA cs.AI cs.LGcited by 10

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Abstract (arXiv)

We present a new financial framework where two families of RL-based agents representing the Liquidity Providers and Liquidity Takers learn simultaneously to satisfy their objective. Thanks to a parametrized reward formulation and the use of Deep RL, each group learns a shared policy able to generalize and interpolate over a wide range of behaviors. This is a step towards a fully RL-based market simulator replicating complex market conditions particularly suited to study the dynamics of the financial market under various scenarios.

Key facts. Cited by 10 papers in the map (data through 14 Oct 2026). Builds on 5 of its 21 references that are in the map. First posted on arXiv 13 Oct 2021.

Builds on

5 of 21 references.

References · 5

  1. 2013The Complexity of Decentralized Control of Markov Decision Processescited by 231
  2. 2019Get Real: Realism Metrics for Robust Limit Order Book Market Simulationscited by 41
  3. 2019Reinforcement Learning for Market Making in a Multi-agent Dealer Marketcited by 39
  4. 2020Calibration of Shared Equilibria in General Sum Partially Observable Markov Gamescited by 12
  5. 2020Agent Environment Cycle Gamescited by 2

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Cited by year

Citing papers per year: 2022: 2; 2023: 2; 2024: 5; 2025: 1.

10 papers.

  1. 2023Dynamic Datasets and Market Environments for Financial Reinforcement Learningcited by 15
  2. 2022Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulationscited by 10
  3. 2022Phantom -- A RL-driven multi-agent framework to model complex systemscited by 5
  4. 2023Reinforcement Learning for Combining Search Methods in the Calibration of Economic ABMscited by 5
  5. 2024CNN-DRL with Shuffled Features in Financecited by 3
  6. 2024Reinforcement Learning in Agent-Based Market Simulation: Unveiling Realistic Stylized Facts and Behaviorcited by 3
  7. 2024Modelling Opaque Bilateral Market Dynamics in Financial Trading: Insights from a Multi-Agent Simulation Studycited by 2
  8. 2024Decoding OTC Government Bond Market Liquidity: An ABM Model for Market Dynamicscited by 2
  9. 2024Reinforcement Learning in High-frequency Market Makingcited by 0
  10. 2025Natural-gas storage modelling by deep reinforcement learningcited by 0