Snehal Banerjee
Institution
University of Michigan, Ann Arbor
PhD Year
2007
snehalb@umich.edu
FTG Membership
Member
Website
https://snehalbanerjee.github.io/
Featured Work
Mar 6, 2026
Trading against Algorithms: Price Dynamics and Risk-sharing in a Market with Q-learners
We study pricing dynamics and risk-sharing in a market with rational investors and a Q-learning trader. The Q-learner's trading generates a feedback loop in prices: their demand for the risky security depends on their perceived benefit from trading, which in turn, depends on realized returns. We show that this loop generates state-dependent stochastic volatility, predictable returns, and novel price dynamics which depend on the mass...
