This repo contains the core code used to simulate limit order books and evaluate reinforcement-learning-based strategies for the paper "Market making via reinforcement learning" (https://arxiv.org/abs/1804.04216v1).
Dependencies:
- cmake
To build code, run:
./configure
cd build
make
To cleanup, run:
./configure clean
or:
rm -rf build
Note there may be certain issues with shared_ptr types across machines (especially between Linux and Mac OS X boxes).
Please use the following bibtex entry if citing this work.
@inproceedings{spooner2018market,
author={Spooner, Thomas and Fearnley, John and Savani, Rahul and Koukorinis, Andreas},
title={Market Making via Reinforcement Learning},
booktitle={Proceedings of the 17th International Conference on Autonomous Agents and MultiAgent Systems},
series={AAMAS '18},
year={2018},
location={Stockholm, Sweden},
pages={434--442},
publisher={International Foundation for Autonomous Agents and Multiagent Systems},
keywords={limit order books, market making, td learning, tile coding},
}