A reinforcement learning approach to improve the performance of the avellaneda-stoikov market-making algorithm

HIGHLIGHTS

• who: Javier Falces Marin and collaborators from the Escuela Tu00e9cnica Superior Ingenieros Telecomunicaciou0301n, SSR, Universidad Politu00e9cnica Madrid, Madrid, Spain have published the paper: A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm, in the Journal: PLOS ONE of 11/04/2022
• what: This paper presents an approach to using deep reinforcement learning with the novelty that rather than to set the bid and ask prices directly the neural network output is used to tweak the risk aversion parameter and the output of the procedure to obtain bid and ask . . .
  

   

  

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