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We show that adversarial reinforcement learning (ARL) can be used to produce market marking agents that are robust to adversarial and adaptively-chosen market conditions.
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High-frequency trading in a limit order book
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Natural Actor-Critic
J. Peters and S. Schaal · 2008
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High-frequency market-making with inventory constraints and directional bets
P. Fodra and M. Labadie · 2012
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Automated Market Making: Theory and Practice
A. Othman · 2012
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Policy Gradients with Variance Related Risk Criteria
A. Tamar, D. Di Castro, and S. Mannor · 2012
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Adaptive Market Making via Online Learning
J. D. Abernethy and S. Kale · 2013
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Limit Order Books
M. D. Gould, M. A. Porter, S. Williams, M. McDonald, D. J. Fenn, and S. D. Howison · 2013
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Generative Adversarial Nets
I. Goodfellow, J. Pouget-Abadie, M. Mirza, B. Xu, D. Warde-Farley, S. Ozair, A. Courville, and Y. Bengio · 2014
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Algorithmic Trading with Model Uncertainty
Á. Cartea, R. Donnelly, and S. Jaimungal · 2017
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Improving Stochastic Policy Gradients in Continuous Control with Deep Reinforcement Learning Using the Beta Distribution
P.-W. Chou, D. Maturana, and S. Scherer · 2017
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Optimal market making
O. Guéant · 2017
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Particle Value Functions
C. J. Maddison, D. Lawson, G. Tucker, N. Heess, M. Norouzi, A. Mnih, A. Doucet, and Y. W. Teh · 2017
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Robust Adversarial Reinforcement Learning
L. Pinto, J. Davidson, R. Sukthankar, and A. Gupta · 2017
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EPOpt: Learning Robust Neural Network Policies using Model Ensembles
A. Rajeswaran, S. Ghotra, B. Ravindran, and S. Levine · 2017
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Bias in Natural Actor-Critic Algorithms
P. Thomas · 2014
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Order-Flow and Liquidity Provision
Á. Cartea and S. Jaimungal · 2015
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Algorithmic and High-Frequency Trading
Á. Cartea, S. Jaimungal, and J. Penalva · 2015
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A comprehensive survey on safe reinforcement learning
J. Garcıa and F. Fernández · 2015
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Limit Order Books
F. Abergel, M. Anane, A. Chakraborti, A. Jedidi, and I. M. Toke · 2016
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A Distributional Perspective on Reinforcement Learning
M. G. Bellemare, W. Dabney, and R. Munos · 2017
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Actor-Critic Fictitious Play in Simultaneous Move Multistage Games
J. Pérolat, B. Piot, and O. Pietquin · 2018
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Market Making via Reinforcement Learning
T. Spooner, J. Fearnley, R. Savani, and A. Koukorinis · 2018
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Reinforcement Learning: An Introduction
R. S. Sutton and A. G. Barto · 2018
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O. Guéant and I. Manziuk · 2019
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S. Vyetrenko and S. Xu · 2019
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