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PRODID:-//University of Liverpool Computer Science Seminar System//v2//EN
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DTSTAMP:20260917T045543Z
UID:Seminar-EcCo-569@lxserverM.csc.liv.ac.uk
ORGANIZER:CN=Nicos 	Protopapas:MAILTO:N.Protopapas@liverpool.ac.uk
DTSTART:20180228T130000
DTEND:20180228T140000
SUMMARY:Economics and Computation Series
DESCRIPTION:Thomas Spooner: Market making via reinforcement learning\n\nMarket making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and ultimately losing money. In this paper, we develop a high-fidelity simulation of limit order book markets, and use it to design a market making agent using temporal-difference reinforcement learning. We use a linear combination of tile codings as a value function approximator, and design a custom reward function that controls inventory risk. We demonstrate the effectiveness of our approach by showing that our agent outperforms both simple benchmark strategies and a recent online learning approach from the literature.\n\nJoint work with John Fearnley, Rahul Savani and Andreas Koukorinis\nTo appear in AAMAS '18.\n\nhttps://www.csc.liv.ac.uk/research/seminars/abstract.php?id=569
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