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May, 2023
使用深度强化学习从限价单簿中进行市场做市
Market Making with Deep Reinforcement Learning from Limit Order Books
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Hong Guo, Jianwu Lin, Fanlin Huang
TL;DR
本论文提出了一种基于强化学习的市场做市策略，使用卷积神经网络和注意力机制从限价单簿中提取特征，获得了良好的应用效果。
Abstract
market making
(MM) is an important research topic in
quantitative finance
, the agent needs to continuously optimize ask and bid quotes to provide liquidity and make profits. The
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