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arXiv 最近完成扫描:2026-11-10 01:54 · 全站最近入库:2026-11-09 13:22各信源进度 →

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新论文 · v1arXiv:2611.05227

基于遗憾的自适应策略刻画、信息极限与审计样本复杂度

Regret-based Characterization, Information Limits, and the Sample Complexity of Auditing Adaptive Policies

Irene Aldridge

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该文用开环边际与协方差刻画自适应策略相对非自适应策略的性能差,给出信息论上界,并分析从bandit反馈日志审计该差值的样本复杂度。

econ.EM · cs.IT · cs.LG

查看原文摘要

A policy can earn its performance by where it locates on average or by reacting to information. For any Markov policy $π$ in a finite-horizon MDP, let $ν$ be its open-loop marginal, which plays $π$'s average action distribution at each step. We show that $J(π)-J(ν)$ equals $\sum_t tr Cov(Q^ν_t,π_t)$ under endogenous dynamics. Audits based on immediate costs alone can have the wrong sign. Writing the covariance as a joint-versus-product gap gives the bound $|J(π)-J(ν)|\le\sum_t span_t\sqrt{I(s_t;a_t)/2}$, with a sharp constant. Hence, an MDP's adaptivity gap is bounded by the information that its optimal policy uses. Estimating $J(π)-J(ν)$ from $π$'s own bandit-feedback logs takes $Θ(\barχ^2 \log(1/η)/δ^2)$ rounds, where $\barχ^2$ is an average $χ^2$-divergence. At the same time, deterministic non-constant policies cannot be audited at all. We also provide an importance-sampling auditor for episodic MDPs.

新论文 · v1arXiv:2611.01799

Learning AI Agents, Market Makers, and Stress in Automated Markets

Irene Aldridge

原文摘要

Automated markets increasingly route order flow from learning trading agents through automated market makers (AMMs). We model trader archetypes as AI agents defined by their reward functions and analyze the feedback they create on a constant-product AMM. Herd-dominated and arbitrage-dominated markets of equal size have identical return distributions and turnover, so no rule based on volatility, value-at-risk, stress frequency, or volume can tell them apart; yet their stress episodes differ in length by a factor unbounded in the feedback-to-noise ratio $β/s$. Serial statistics identify the feedback sign from $Θ((s/β)^2\log(1/δ))$ observations, and this rate is tight. When agents trade together, profit-seeking agents ride herds rather than lean against them, leading to all-or-nothing participation. Spread-earning market makers restore stability but make liquidity fragile, with discontinuous collapse and hysteresis; maker--taker pricing, not a uniform fee, is the effective instrument.

econ.EM · cs.LG · econ.TH · q-fin.TR

版本更新 · v2arXiv:2610.22522

Agentic AI in Automated Markets

Irene Aldridge, Lourenco Belleau-Bhowmik, James Chan, Josh Chang, Kelly Deng, Pranav Dhingra, Xinda Ding, Haodong Fang 等 33 位作者

原文摘要

Automated markets increasingly host autonomous, learning trading agents and are powered by formulaic automated market makers (AMMs). We study how heterogeneous agent behavior shapes stress, risk-adjusted performance, liquidity, and volatility in these types of markets. Three behavioral archetypes are modeled as agentic reinforcement learning (RL) systems: a rational arbitrageur, a manipulator, and a retail herd-follower. Each archetype is defined by its reward function within a common, asset-agnostic exposure-control environment, and each is trained with a value-based Deep Q-Network (DQN) and with REINFORCE using a learned baseline. A pilot on hourly cryptocurrency data (AAVE, ETC, SUI) motivates the hypotheses. Herd-followers produce the most frequent but shortest stress episodes, manipulators the fewest but most persistent, and rational agents the most stable rolling Sharpe ratios despite higher return volatility. SHAP attributions tie these patterns to drawdown and cross-asset signals, short-term volatility and position state, and momentum, respectively. The results motivate behavior-specific regulation rather than uniform limits on volatility or turnover.

econ.EM · cs.ET · q-fin.RM · q-fin.TR