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2018

Optimizing Market Making using Multi-Agent Reinforcement Learning

Patel, Yagna

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In this paper, reinforcement learning is applied to the problem of optimizing market making.

A multi-agent reinforcement learning framework is used to optimally place limit orders that lead to successful trades.
The framework consists of two agents.
The macro-agent optimizes on making the decision to buy, sell, or hold an asset.

Optimizing Market Making using Multi-Agent Reinforcement Learning · Around

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Jae Won Lee, Jangmin O. “A Multi-agent Q-learning Framework for Optimizing Stock Trading Systems” ftp://ftp.cse.buffalo.edu/users/azhang/disc/springer/0558/papers/2453/ 24530153.pdf (2002)
2002
Earlier work this paper cites.
Yuriy Nevmyvaka, Yi Feng, Michael Kearns “Reinforcement Learning for Optimized Trade Execution.” https://www.cis.upenn.edu/ mkearns/papers/rlexec.pdf (2006)
2006
Earlier work this paper cites.
“Use Z-Scores To Maximize Your Portfolio’s Potential” https://seekingalpha.com/article/3224666-use-z-scores-to-maximize-your-portfolios-potential (2015)
2015
Earlier work this paper cites.
Hado van Hasselt, et al. “Learning values across many orders of magnitude” arXiv preprint arXiv:1602.07714 (2016)
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2016
Earlier work this paper cites.

Similar

Ziyu Wang, et al. “Dueling Network Architectures for Deep Reinforcement Learning” arXiv preprint arXiv:1511.06581 (2016)
Original
2016
Cited alongside, same era.
Matthew F Dixon. “A High Frequency Trade Execution Model for Supervised Learning.” arXiv preprint arXiv:1710.03870 (2017)
Original
2017
Cited alongside, same era.
Gavin Chan. “Light Matching Engine” https://github.com/gavincyi/LightMatchingEngine (2017)
2017
Cited alongside, same era.
Olivier Gueant. “Optimal market making” arXiv preprint arXiv:1605.01862 (2017)
Original
2017
Cited alongside, same era.

Then

Prakhar Ganesh, Puneet Rakheja. “Deep Reinforcement Learning in High Frequency Trading.” arXiv preprint arXiv:1809.01506 (2018)
Original
2018
Closest in time.
Marc Juchli “Limit order placement optimization with Deep Reinforcement Learning” https://repository.tudelft.nl/islandora/object/uuid:e2e99579-541b-4b5a-8cbb-36ea17a4a93a?collection=education (2018)
2018
Closest in time.
Investopedia “Random Walk Theory” https://www.investopedia.com/terms/r/randomwalktheory.asp (2018)
2018
Closest in time.

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