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This thesis presents the results of a comprehensive research project focused on applying Reinforcement Learning (RL) to the problem of market making in financial markets. Market makers (MMs) play a fundamental role in providing liquidity,…
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…
Market making (MM) has attracted significant attention in financial trading owing to its essential function in ensuring market liquidity. With strong capabilities in sequential decision-making, Reinforcement Learning (RL) technology has…
Execution algorithms are vital to modern trading, they enable market participants to execute large orders while minimising market impact and transaction costs. As these algorithms grow more sophisticated, optimising them becomes…
Market making is a fundamental trading problem in which an agent provides liquidity by continually offering to buy and sell a security. The problem is challenging due to inventory risk, the risk of accumulating an unfavourable position and…
This paper introduces a novel reinforcement learning (RL) approach to scheduling mixed-criticality (MC) systems on processors with varying speeds. Building upon the foundation laid by [1], we extend their work to address the non-preemptive…
Efficient dispatching rule in manufacturing industry is key to ensure product on-time delivery and minimum past-due and inventory cost. Manufacturing, especially in the developed world, is moving towards on-demand manufacturing meaning a…
Reinforcement Learning (RL) has recently received significant attention from the process systems engineering and control communities. Recent works have investigated the application of RL to identify optimal scheduling decision in the…
This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…
This paper describes the application of reinforcement learning (RL) to multi-product inventory management in supply chains. The problem description and solution are both adapted from a real-world business solution. The novelty of this…
Recent years have seen a rise in interest in terms of using machine learning, particularly reinforcement learning (RL), for production scheduling problems of varying degrees of complexity. The general approach is to break down the…
Online matching problems arise in many complex systems, from cloud services and online marketplaces to organ exchange networks, where timely, principled decisions are critical for maintaining high system performance. Traditional heuristics…
Reinforcement learning (RL) techniques have shown great success in many challenging quantitative trading tasks, such as portfolio management and algorithmic trading. Especially, intraday trading is one of the most profitable and risky tasks…
In the last decade, Reinforcement Learning (RL) has achieved remarkable success in the control and decision-making of complex dynamical systems. However, most RL algorithms rely on the Markov Decision Process assumption, which is violated…
Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure. Deep reinforcement learning (RL) has been considered a…
This paper explores the mean-variance portfolio selection problem in a multi-period financial market characterized by regime-switching dynamics and uncontrollable liabilities. To address the uncertainty in the decision-making process within…
Reinforcement learning (RL) is an innovative approach to financial decision making, offering specialized solutions to complex investment problems where traditional methods fail. This review analyzes 167 articles from 2017--2025, focusing on…
We consider reinforcement learning (RL) in Markov Decision Processes in which an agent repeatedly interacts with an environment that is modeled by a controlled Markov process. At each time step $t$, it earns a reward, and also incurs a…
Although safety stock optimisation has been studied for more than 60 years, most companies still use simplistic means to calculate necessary safety stock levels, partly due to the mismatch between existing analytical methods' emphases on…
Much research has been done to analyze the stock market. After all, if one can determine a pattern in the chaotic frenzy of transactions, then they could make a hefty profit from capitalizing on these insights. As such, the goal of our…