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Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security.
Reinforcement Learning with Parameterized Actions
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Low-latency trading
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A Practical Liquidity-Sensitive Automated Market Maker
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Buy Low Sell High: A High Frequency Trading Perspective
Álvaro Cartea, Sebastian Jaimungal, and Jason Ricci. 2014 · 2014
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Risk Metrics and Fine Tuning of High-Frequency Trading Strategies
Álvaro Cartea and Sebastian Jaimungal. 2015 · 2015
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Álvaro Cartea, Sebastian Jaimungal, and José Penalva. 2015 · 2015
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Automated Trading in Futures Markets
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Market Making and Mean Reversion. In Proc. of EC
Tanmoy Chakraborty and Michael Kearns. 2011 · 2011
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Fabien Guilbaud and Huyen Pham. 2011 · 2011
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A Bayesian market maker. In Proc. of EC
Aseem Brahma, Mithun Chakraborty, Sanmay Das, Allen Lavoie, and Malik Magdon-Ismail. 2012 · 2012
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Automated Market Making: Theory and Practice
Abraham Othman. 2012 · 2012
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Rahul Savani. 2012 · 2012
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Rebuilding the limit order book: sequential Bayesian inference on hidden states
Hugh L Christensen, Richard E Turner, Simon I Hill, and Simon J Godsill. 2013 · 2013
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Limit Order Books
Frederic Abergel, Anirban Chakraborti, Aymen Jedidi, Ioane Muni Toke, and Marouane Anane. 2016 · 2016
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The Option-Critic Architecture
Pierre-Luc Bacon, Jean Harb, and Doina Precup. 2016 · 2016
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Algorithmic Trading with Learning
Álvaro Cartea, Sebastian Jaimungal, and Damir Kinzebulatov. 2016 · 2016
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Human Factors in Financial Trading: An Analysis of Trading Incidents
M. Leaver and T. W. Reader. 2016 · 2016
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True online temporal-difference learning
Harm Van Seijen, A Rupam Mahmood, Patrick M Pilarski, Marlos C Machado, and Richard S Sutton. 2016 · 2016
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A Distributional Perspective on Reinforcement Learning. In International Conference on Machine Learning
Marc G Bellemare, Will Dabney, and Rémi Munos. 2017 · 2017
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Multi-step reinforcement learning: A unifying algorithm
Kristopher De Asis, J Fernando Hernandez-Garcia, G Zacharias Holland, and Richard S Sutton. 2017 · 2017
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Adaptive Market Making via Online Learning. In Proc. of NIPS
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