Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
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DOI: 10.1080/1350486X.2020.1714455
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Cited by:
- Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
- Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
- Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Sep 2022.
- Pankaj Kumar, 2021. "Deep Hawkes Process for High-Frequency Market Making," Papers 2109.15110, arXiv.org.
- Hui Niu & Siyuan Li & Jiahao Zheng & Zhouchi Lin & Jian Li & Jian Guo & Bo An, 2023. "IMM: An Imitative Reinforcement Learning Approach with Predictive Representation Learning for Automatic Market Making," Papers 2308.08918, arXiv.org.
- Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
- Bastien Baldacci & Joffrey Derchu & Iuliia Manziuk, 2020. "An approximate solution for options market-making in high dimension," Papers 2009.00907, arXiv.org.
- Bastien Baldacci & Philippe Bergault & Olivier Gu'eant, 2019. "Algorithmic market making for options," Papers 1907.12433, arXiv.org, revised Jul 2020.
- Jiafa He & Cong Zheng & Can Yang, 2023. "Integrating Tick-level Data and Periodical Signal for High-frequency Market Making," Papers 2306.17179, arXiv.org.
- Bruno Gav{s}perov & Zvonko Kostanjv{c}ar, 2022. "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model," Papers 2207.09951, arXiv.org.
- Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023. "Algorithmic market making in dealer markets with hedging and market impact," Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
- Bruno Gašperov & Stjepan Begušić & Petra Posedel Šimović & Zvonko Kostanjčar, 2021. "Reinforcement Learning Approaches to Optimal Market Making," Mathematics, MDPI, vol. 9(21), pages 1-22, October.
- Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
- Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org, revised Feb 2021.
- Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
- Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Recent advances in reinforcement learning in finance," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 437-503, July.
- Thomas Spooner & Rahul Savani, 2020. "Robust Market Making via Adversarial Reinforcement Learning," Papers 2003.01820, arXiv.org, revised Jul 2020.
- Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
- Bastien Baldacci & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, arXiv.org.
- Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
- Shuo Sun & Rundong Wang & Bo An, 2021. "Reinforcement Learning for Quantitative Trading," Papers 2109.13851, arXiv.org.
- Nelson Vadori & Sumitra Ganesh & Prashant Reddy & Manuela Veloso, 2020. "Risk-Sensitive Reinforcement Learning: a Martingale Approach to Reward Uncertainty," Papers 2006.12686, arXiv.org, revised Sep 2020.
- Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.
- Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02987894, HAL.
- Bastien Baldacci & Jerome Benveniste & Gordon Ritter, 2020. "Optimal trading without optimal control," Papers 2012.12945, arXiv.org.
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