Matches in SemOpenAlex for { <https://semopenalex.org/work/W4386044597> ?p ?o ?g. }
Showing items 1 to 71 of
71
with 100 items per page.
- W4386044597 abstract "Market making (MM) has attracted significant attention in financial trading owing to its essential function in ensuring market liquidity. With strong capabilities in sequential decision-making, Reinforcement Learning (RL) technology has achieved remarkable success in quantitative trading. Nonetheless, most existing RL-based MM methods focus on optimizing single-price level strategies which fail at frequent order cancellations and loss of queue priority. Strategies involving multiple price levels align better with actual trading scenarios. However, given the complexity that multi-price level strategies involves a comprehensive trading action space, the challenge of effectively training profitable RL agents for MM persists. Inspired by the efficient workflow of professional human market makers, we propose Imitative Market Maker (IMM), a novel RL framework leveraging both knowledge from suboptimal signal-based experts and direct policy interactions to develop multi-price level MM strategies efficiently. The framework start with introducing effective state and action representations adept at encoding information about multi-price level orders. Furthermore, IMM integrates a representation learning unit capable of capturing both short- and long-term market trends to mitigate adverse selection risk. Subsequently, IMM formulates an expert strategy based on signals and trains the agent through the integration of RL and imitation learning techniques, leading to efficient learning. Extensive experimental results on four real-world market datasets demonstrate that IMM outperforms current RL-based market making strategies in terms of several financial criteria. The findings of the ablation study substantiate the effectiveness of the model components." @default.
- W4386044597 created "2023-08-22" @default.
- W4386044597 creator A5000314015 @default.
- W4386044597 creator A5012243285 @default.
- W4386044597 creator A5017743551 @default.
- W4386044597 creator A5042701658 @default.
- W4386044597 creator A5055640195 @default.
- W4386044597 creator A5063993449 @default.
- W4386044597 creator A5075721071 @default.
- W4386044597 date "2023-08-17" @default.
- W4386044597 modified "2023-09-24" @default.
- W4386044597 title "IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making" @default.
- W4386044597 doi "https://doi.org/10.48550/arxiv.2308.08918" @default.
- W4386044597 hasPublicationYear "2023" @default.
- W4386044597 type Work @default.
- W4386044597 citedByCount "0" @default.
- W4386044597 crossrefType "posted-content" @default.
- W4386044597 hasAuthorship W4386044597A5000314015 @default.
- W4386044597 hasAuthorship W4386044597A5012243285 @default.
- W4386044597 hasAuthorship W4386044597A5017743551 @default.
- W4386044597 hasAuthorship W4386044597A5042701658 @default.
- W4386044597 hasAuthorship W4386044597A5055640195 @default.
- W4386044597 hasAuthorship W4386044597A5063993449 @default.
- W4386044597 hasAuthorship W4386044597A5075721071 @default.
- W4386044597 hasBestOaLocation W43860445971 @default.
- W4386044597 hasConcept C10138342 @default.
- W4386044597 hasConcept C119857082 @default.
- W4386044597 hasConcept C131562839 @default.
- W4386044597 hasConcept C14036430 @default.
- W4386044597 hasConcept C151730666 @default.
- W4386044597 hasConcept C154945302 @default.
- W4386044597 hasConcept C162324750 @default.
- W4386044597 hasConcept C18991353 @default.
- W4386044597 hasConcept C2780299701 @default.
- W4386044597 hasConcept C2780762169 @default.
- W4386044597 hasConcept C41008148 @default.
- W4386044597 hasConcept C78458016 @default.
- W4386044597 hasConcept C78508483 @default.
- W4386044597 hasConcept C86803240 @default.
- W4386044597 hasConcept C97541855 @default.
- W4386044597 hasConceptScore W4386044597C10138342 @default.
- W4386044597 hasConceptScore W4386044597C119857082 @default.
- W4386044597 hasConceptScore W4386044597C131562839 @default.
- W4386044597 hasConceptScore W4386044597C14036430 @default.
- W4386044597 hasConceptScore W4386044597C151730666 @default.
- W4386044597 hasConceptScore W4386044597C154945302 @default.
- W4386044597 hasConceptScore W4386044597C162324750 @default.
- W4386044597 hasConceptScore W4386044597C18991353 @default.
- W4386044597 hasConceptScore W4386044597C2780299701 @default.
- W4386044597 hasConceptScore W4386044597C2780762169 @default.
- W4386044597 hasConceptScore W4386044597C41008148 @default.
- W4386044597 hasConceptScore W4386044597C78458016 @default.
- W4386044597 hasConceptScore W4386044597C78508483 @default.
- W4386044597 hasConceptScore W4386044597C86803240 @default.
- W4386044597 hasConceptScore W4386044597C97541855 @default.
- W4386044597 hasLocation W43860445971 @default.
- W4386044597 hasOpenAccess W4386044597 @default.
- W4386044597 hasPrimaryLocation W43860445971 @default.
- W4386044597 hasRelatedWork W3016228233 @default.
- W4386044597 hasRelatedWork W3035574064 @default.
- W4386044597 hasRelatedWork W3122425648 @default.
- W4386044597 hasRelatedWork W3126577088 @default.
- W4386044597 hasRelatedWork W3175255688 @default.
- W4386044597 hasRelatedWork W3176836227 @default.
- W4386044597 hasRelatedWork W4311038708 @default.
- W4386044597 hasRelatedWork W4313641676 @default.
- W4386044597 hasRelatedWork W4319083788 @default.
- W4386044597 hasRelatedWork W4365600551 @default.
- W4386044597 isParatext "false" @default.
- W4386044597 isRetracted "false" @default.
- W4386044597 workType "article" @default.