Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
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References listed on IDEAS
- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Dealing with the Inventory Risk. A solution to the market making problem,"
Papers
1105.3115, arXiv.org, revised Aug 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
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- Marco Avellaneda & Sasha Stoikov, 2008. "High-frequency trading in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 217-224.
- Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Jul 2020.
- Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
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Cited by:
- Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, 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 & Iuliia Manziuk, 2020. "Adaptive trading strategies across liquidity pools," Papers 2008.07807, 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.
- Frédéric Abergel & Côme Huré & Huyên Pham, 2020. "Algorithmic trading in a microstructural limit order book model," Post-Print hal-01514987, HAL.
- Laura Leal & Mathieu Lauri`ere & Charles-Albert Lehalle, 2020. "Learning a functional control for high-frequency finance," Papers 2006.09611, arXiv.org.
- Philippe Bergault & Olivier Gu'eant, 2019. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Papers 1907.01225, arXiv.org, revised Jul 2020.
- 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.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2019-11-04 (Big Data)
- NEP-FMK-2019-11-04 (Financial Markets)
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