Matches in SemOpenAlex for { <https://semopenalex.org/work/W3129717163> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W3129717163 abstract "Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer market and demonstrate that it can be used to understand the behavior of a reinforcement learning (RL) based market maker agent. We use the simulator to train an RL-based market maker agent with different competitive scenarios, reward formulations and market price trends (drifts). We show that the reinforcement learning agent is able to learn about its competitor's pricing policy; it also learns to manage inventory by smartly selecting asymmetric prices on the buy and sell sides (skewing), and maintaining a positive (or negative) inventory depending on whether the market price drift is positive (or negative). Finally, we propose and test reward formulations for creating risk averse RL-based market maker agents." @default.
- W3129717163 created "2021-03-01" @default.
- W3129717163 creator A5019908493 @default.
- W3129717163 creator A5031618633 @default.
- W3129717163 creator A5043296839 @default.
- W3129717163 creator A5046489226 @default.
- W3129717163 creator A5057963205 @default.
- W3129717163 creator A5081450666 @default.
- W3129717163 date "2019-01-01" @default.
- W3129717163 modified "2023-09-23" @default.
- W3129717163 title "Reinforcement Learning for Market Making in a Multi-agent Dealer Market" @default.
- W3129717163 hasPublicationYear "2019" @default.
- W3129717163 type Work @default.
- W3129717163 sameAs 3129717163 @default.
- W3129717163 citedByCount "1" @default.
- W3129717163 countsByYear W31297171632020 @default.
- W3129717163 crossrefType "posted-content" @default.
- W3129717163 hasAuthorship W3129717163A5019908493 @default.
- W3129717163 hasAuthorship W3129717163A5031618633 @default.
- W3129717163 hasAuthorship W3129717163A5043296839 @default.
- W3129717163 hasAuthorship W3129717163A5046489226 @default.
- W3129717163 hasAuthorship W3129717163A5057963205 @default.
- W3129717163 hasAuthorship W3129717163A5081450666 @default.
- W3129717163 hasConcept C127413603 @default.
- W3129717163 hasConcept C144133560 @default.
- W3129717163 hasConcept C151730666 @default.
- W3129717163 hasConcept C154945302 @default.
- W3129717163 hasConcept C162324750 @default.
- W3129717163 hasConcept C175444787 @default.
- W3129717163 hasConcept C183582576 @default.
- W3129717163 hasConcept C18991353 @default.
- W3129717163 hasConcept C2777267654 @default.
- W3129717163 hasConcept C2780299701 @default.
- W3129717163 hasConcept C2780762169 @default.
- W3129717163 hasConcept C2780873155 @default.
- W3129717163 hasConcept C40700 @default.
- W3129717163 hasConcept C41008148 @default.
- W3129717163 hasConcept C556758197 @default.
- W3129717163 hasConcept C66938386 @default.
- W3129717163 hasConcept C67203356 @default.
- W3129717163 hasConcept C86803240 @default.
- W3129717163 hasConcept C97541855 @default.
- W3129717163 hasConceptScore W3129717163C127413603 @default.
- W3129717163 hasConceptScore W3129717163C144133560 @default.
- W3129717163 hasConceptScore W3129717163C151730666 @default.
- W3129717163 hasConceptScore W3129717163C154945302 @default.
- W3129717163 hasConceptScore W3129717163C162324750 @default.
- W3129717163 hasConceptScore W3129717163C175444787 @default.
- W3129717163 hasConceptScore W3129717163C183582576 @default.
- W3129717163 hasConceptScore W3129717163C18991353 @default.
- W3129717163 hasConceptScore W3129717163C2777267654 @default.
- W3129717163 hasConceptScore W3129717163C2780299701 @default.
- W3129717163 hasConceptScore W3129717163C2780762169 @default.
- W3129717163 hasConceptScore W3129717163C2780873155 @default.
- W3129717163 hasConceptScore W3129717163C40700 @default.
- W3129717163 hasConceptScore W3129717163C41008148 @default.
- W3129717163 hasConceptScore W3129717163C556758197 @default.
- W3129717163 hasConceptScore W3129717163C66938386 @default.
- W3129717163 hasConceptScore W3129717163C67203356 @default.
- W3129717163 hasConceptScore W3129717163C86803240 @default.
- W3129717163 hasConceptScore W3129717163C97541855 @default.
- W3129717163 hasLocation W31297171631 @default.
- W3129717163 hasOpenAccess W3129717163 @default.
- W3129717163 hasPrimaryLocation W31297171631 @default.
- W3129717163 hasRelatedWork W141986715 @default.
- W3129717163 hasRelatedWork W1544956240 @default.
- W3129717163 hasRelatedWork W1606353929 @default.
- W3129717163 hasRelatedWork W1607107680 @default.
- W3129717163 hasRelatedWork W1987909727 @default.
- W3129717163 hasRelatedWork W2113700932 @default.
- W3129717163 hasRelatedWork W2118882387 @default.
- W3129717163 hasRelatedWork W2128177778 @default.
- W3129717163 hasRelatedWork W2171405916 @default.
- W3129717163 hasRelatedWork W2178914607 @default.
- W3129717163 hasRelatedWork W2234507834 @default.
- W3129717163 hasRelatedWork W2580485109 @default.
- W3129717163 hasRelatedWork W2589989847 @default.
- W3129717163 hasRelatedWork W3087426815 @default.
- W3129717163 hasRelatedWork W3121663631 @default.
- W3129717163 hasRelatedWork W3123010308 @default.
- W3129717163 hasRelatedWork W3162808574 @default.
- W3129717163 hasRelatedWork W602102014 @default.
- W3129717163 hasRelatedWork W3122013738 @default.
- W3129717163 hasRelatedWork W3123341004 @default.
- W3129717163 isParatext "false" @default.
- W3129717163 isRetracted "false" @default.
- W3129717163 magId "3129717163" @default.
- W3129717163 workType "article" @default.