In a repeated market-maker/taker game with endogenous price impact, projected stochastic gradient ascent by adaptive agents reaches a region of persistent overpricing in finite time.
American Economic Review 110, 10 (Oct
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The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents
In a repeated market-maker/taker game with endogenous price impact, projected stochastic gradient ascent by adaptive agents reaches a region of persistent overpricing in finite time.