In a two-agent Almgren-Chriss liquidation game, deep RL agents given intra-episode history of prices and own actions achieve supra-competitive outcomes more frequently and persistently than agents without such memory.
Proceedings of the twenty-ninth international conference on international joint conferences on artificial intelligence , pages=
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Memory-Induced Supra-Competitive Outcomes Between Deep Reinforcement Learning Agents in Optimal Trade Execution
In a two-agent Almgren-Chriss liquidation game, deep RL agents given intra-episode history of prices and own actions achieve supra-competitive outcomes more frequently and persistently than agents without such memory.