Market Making via Reinforcement Learning

11 April 2018

Papers citing "Market Making via Reinforcement Learning"

45 / 45 papers shown

Title
Resolving Latency and Inventory Risk in Market Making with Reinforcement Learning Junzhe Jiang Chang Yang Xinrun Wang Zhiming Li Xiao Huang Bo Li 7 0 0 18 May 2025
LOB-Bench: Benchmarking Generative AI for Finance - an Application to Limit Order Book Data Peer Nagy Sascha Frey Kang Li Bidipta Sarkar Svitlana Vyetrenko Stefan Zohren Ani Calinescu Jakob Foerster 89 1 0 13 Feb 2025
Solving The Dynamic Volatility Fitting Problem: A Deep Reinforcement Learning Approach Emmanuel Gnabeyeu Omar Karkar Imad Idboufous 31 0 0 15 Oct 2024
Fitted Q-Iteration via Max-Plus-Linear Approximation Y. Liu Mohammad Amin Sharifi Kolarijani 48 0 0 12 Sep 2024
The Evolution of Reinforcement Learning in Quantitative Finance: A Survey Nikolaos Pippas Cagatay Turkay Elliot A. Ludvig AIFin 95 3 0 20 Aug 2024
Modelling crypto markets by multi-agent reinforcement learning J. Lussange Stefano Vrizzi Stefano Palminteri Boris Gutkin AIFin 35 0 0 16 Feb 2024
Reinforcement Learning with Maskable Stock Representation for Portfolio Management in Customizable Stock Pools Wentao Zhang Yilei Zhao Shuo Sun Jie Ying Yonggang Xie Zitao Song Xinrun Wang Bo An AIFin OOD 26 5 0 17 Nov 2023
Combining Deep Learning on Order Books with Reinforcement Learning for Profitable Trading Koti S. Jaddu P. Bilokon 6 1 0 24 Oct 2023
JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading Sascha Frey Kang Li Peer Nagy Silvia Sapora Chris Xiaoxuan Lu S. Zohren Jakob N. Foerster Anisoara Calinescu 38 14 0 25 Aug 2023
IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making Hui Niu Siyuan Li Jiahao Zheng Zhou-Chen Lin Jian Li Jian Guo Bo An 29 4 0 17 Aug 2023
Conditional Generators for Limit Order Book Environments: Explainability, Challenges, and Robustness Andrea Coletta Joseph Jerome Rahul Savani Svitlana Vyetrenko 38 17 0 22 Jun 2023
Integrating Tick-level Data and Periodical Signal for High-frequency Market Making Jiafa He Cong Zheng Can Yang AIFin 14 0 0 19 Jun 2023
Market Making with Deep Reinforcement Learning from Limit Order Books Hongli Guo Jianwu Lin Fanlin Huang OffRL 29 2 0 25 May 2023
Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds II A. Vié J. Farmer AIFin 12 0 0 02 Feb 2023
Uniswap Liquidity Provision: An Online Learning Approach Yogev Bar-On Yishay Mansour 44 12 0 01 Feb 2023
PRUDEX-Compass: Towards Systematic Evaluation of Reinforcement Learning in Financial Markets Shuo Sun Molei Qin Xinrun Wang Bo An FaML OffRL AIFin 35 4 0 14 Jan 2023
Reinforcement Learning Applied to Trading Systems: A Survey L. Felizardo Francisco Caio Lima Paiva Anna Helena Reali Costa E. Del-Moral-Hernandez AIFin 21 1 0 01 Nov 2022
Can maker-taker fees prevent algorithmic cooperation in market making? Bingyan Han 45 1 0 01 Nov 2022
Towards Evology: a Market Ecology Agent-Based Model of US Equity Mutual Funds A. Vié M. Scholl Alissa M. Kleinnijenhuis J. Farmer AIFin 14 1 0 20 Oct 2022
Neural Augmented Kalman Filtering with Bollinger Bands for Pairs Trading Amit Milstein Haoran Deng Guy Revach Hai Morgenstern Nir Shlezinger 29 4 0 19 Oct 2022
Limited or Biased: Modeling Sub-Rational Human Investors in Financial Markets Penghang Liu Kshama Dwarakanath Svitlana Vyetrenko Tucker Balch AIFin 34 5 0 16 Oct 2022
Towards Multi-Agent Reinforcement Learning driven Over-The-Counter Market Simulations N. Vadori Leo Ardon Sumitra Ganesh Thomas Spooner Selim Amrouni Jared Vann Mengda Xu Zeyu Zheng T. Balch Manuela Veloso 23 16 0 13 Oct 2022
Predictive Crypto-Asset Automated Market Making Architecture for Decentralized Finance using Deep Reinforcement Learning Tristan Lim 24 2 0 28 Sep 2022
Model-based gym environments for limit order book trading Joseph Jerome Leandro Sánchez-Betancourt Rahul Savani Martin Herdegen 35 3 0 16 Sep 2022
Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model Bruno Gašperov Z. Kostanjčar 32 11 0 20 Jul 2022
Market Making with Scaled Beta Policies Joseph Jerome Gregory Palmer Rahul Savani OffRL AIFin 13 7 0 07 Jul 2022
Recent Advances in Reinforcement Learning in Finance B. Hambly Renyuan Xu Huining Yang OffRL 29 168 0 08 Dec 2021
Deep Q-Learning Market Makers in a Multi-Agent Simulated Stock Market Oscar Vicente Fernando Fernández Rebollo Francisco Javier García-Polo AIFin 24 2 0 08 Dec 2021
Profit equitably: An investigation of market maker's impact on equitable outcomes Kshama Dwarakanath Svitlana Vyetrenko T. Balch 27 3 0 29 Oct 2021
Towards Realistic Market Simulations: a Generative Adversarial Networks Approach Andrea Coletta Matteo Prata Michele Conti Emanuele Mercanti N. Bartolini Aymeric Moulin Svitlana Vyetrenko T. Balch GAN 24 44 0 25 Oct 2021
Reinforcement Learning for Quantitative Trading Shuo Sun R. Wang Bo An OffRL AIFin 28 51 0 28 Sep 2021
Quantum Machine Learning for Finance Marco Pistoia Syed Farhan Ahmad Akshay Ajagekar A. Buts Shouvanik Chakrabarti ... Pierre Minssen Pradeep Niroula Arthur G. Rattew Yue Sun Romina Yalovetzky AIFin 31 22 0 09 Sep 2021
Robust Risk-Sensitive Reinforcement Learning Agents for Trading Markets Yue Gao Kry Yik-Chau Lui Pablo Hernandez-Leal 38 7 0 16 Jul 2021
Bayesian Bellman Operators M. Fellows Kristian Hartikainen Shimon Whiteson OffRL 42 15 0 09 Jun 2021
Agatha: Smart Contract for DNN Computation Zihan Zheng Peichen Xie Xian Zhang Shuo Chen Yang Chen Xiaobing Guo Guangzhong Sun Guangyu Sun Lidong Zhou GNN 31 11 0 11 May 2021
Computational Performance of Deep Reinforcement Learning to find Nash Equilibria C. Graf Viktor Zobernig Johannes Schmidt Claude Klöckl 13 4 0 26 Apr 2021
Machine learning and deep learning Christian Janiesch Patrick Zschech Kai Heinrich 26 1,170 0 12 Apr 2021
Optimal Market Making by Reinforcement Learning Matias Selser Javier Kreiner M. Maurette AIFin 22 5 0 08 Apr 2021
Vulnerability-Aware Poisoning Mechanism for Online RL with Unknown Dynamics Yanchao Sun Da Huo Furong Huang AAML OffRL OnRL 31 49 0 02 Sep 2020
Reinforcement Learning in Economics and Finance Arthur Charpentier Romuald Elie Carl Remlinger OffRL 32 150 0 22 Mar 2020
Robust Market Making via Adversarial Reinforcement Learning Thomas Spooner Rahul Savani AAML 6 20 0 03 Mar 2020
Get Real: Realism Metrics for Robust Limit Order Book Market Simulations Svitlana Vyetrenko David Byrd Nick Petosa Mahmoud Mahfouz Danial Dervovic Manuela Veloso T. Balch 9 67 0 10 Dec 2019
Reinforcement Learning for Market Making in a Multi-agent Dealer Market Sumitra Ganesh N. Vadori Mengda Xu Huabao Zheng P. Reddy Manuela Veloso 11 71 0 14 Nov 2019
Reinforcement Learning for Portfolio Management Angelos Filos 32 35 0 12 Sep 2019
Risk-Sensitive Compact Decision Trees for Autonomous Execution in Presence of Simulated Market Response Svitlana Vyetrenko Shaojie Xu 27 14 0 05 Jun 2019