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Jun, 2023
融合逐笔数据和周期信号用于高频市场做市
Integrating Tick-level Data and Periodical Signal for High-frequency Market Making
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Jiafa He, Cong Zheng, Can Yang
TL;DR
该研究旨在解决高频交易中市场制造的问题，提出了一种深度强化学习方法，将tick-level数据与周期性预测信号融合，以开发更精准、更强韧的市场制造策略，并在加密货币市场模拟场景和实际数据实验中得到了优越的收益和风险管理表现。
Abstract
We focus on the problem of
market making
in
high-frequency trading
.
market making
is a critical function in financial markets that involve
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