Related papers: Realistic Market Impact Modeling for Reinforcement…
The paper explores the application of a continuous action space soft actor-critic (SAC) reinforcement learning model to the area of automated market-making. The reinforcement learning agent receives a simulated flow of client trades, thus…
Designing sample-efficient and computationally feasible reinforcement learning (RL) algorithms is particularly challenging in environments with large or infinite state and action spaces. In this paper, we advance this effort by presenting…
This paper develops a novel multi-agent reinforcement learning (MARL) framework for reinsurance treaty bidding, addressing long-standing inefficiencies in traditional broker-mediated placement processes. We pose the core research question:…
We show that adversarial reinforcement learning (ARL) can be used to produce market marking agents that are robust to adversarial and adaptively-chosen market conditions. To apply ARL, we turn the well-studied single-agent model of…
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…
Deep reinforcement learning (DRL) is a well-suited approach to financial decision-making, where an agent makes decisions based on its trading strategy developed from market observations. Existing DRL intraday trading strategies mainly use…
In this paper, we investigate whether deep reinforcement-learning agents interacting in a shared optimal-execution environment can sustain supra-competitive outcomes, in the sense of achieving lower implementation shortfalls than the…
This paper sets forth a framework for deep reinforcement learning as applied to market making (DRLMM) for cryptocurrencies. Two advanced policy gradient-based algorithms were selected as agents to interact with an environment that…
In Europe, profit-seeking balance responsible parties can deviate in real time from their day-ahead nominations to assist transmission system operators in maintaining the supply-demand balance. Model predictive control (MPC) strategies to…
Over the past decades, researchers have been pushing the limits of Deep Reinforcement Learning (DRL). Although DRL has attracted substantial interest from practitioners, many are blocked by having to search through a plethora of available…
Peer-to-peer (P2P) energy trading is becoming central to modern distribution systems as rooftop PV and home energy management systems become pervasive, yet most existing market and reinforcement learning designs emphasize efficiency or…
Reinforcement learning (RL) has the potential to transform real-world decision-making systems by enabling autonomous agents to learn from experience. Deploying RL in real-world settings, especially in the context of human-robot interaction,…
We propose a convex formulation for a trading system with the Conditional Value-at-Risk as a risk-adjusted performance measure under the notion of Direct Reinforcement Learning. Due to convexity, the proposed approach can uncover 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…
In recent years, deep reinforcement learning (Deep RL) has been successfully implemented as a smart agent in many systems such as complex games, self-driving cars, and chat-bots. One of the interesting use cases of Deep RL is its…
Optimal order execution is widely studied by industry practitioners and academic researchers because it determines the profitability of investment decisions and high-level trading strategies, particularly those involving large volumes of…
Model Predictive Control (MPC) is a powerful control technique that handles constraints, takes the system's dynamics into account, and optimizes for a given cost function. In practice, however, it often requires an expert to craft and tune…
Reinforcement learning (RL) has proven to be well-performed and general-purpose in the inventory control (IC). However, further improvement of RL algorithms in the IC domain is impeded due to two limitations of online experience. First,…
Safety is a critical hurdle that limits the application of deep reinforcement learning (RL) to real-world control tasks. To this end, constrained reinforcement learning leverages cost functions to improve safety in constrained Markov…
Price movement prediction has always been one of the traders' concerns in financial market trading. In order to increase their profit, they can analyze the historical data and predict the price movement. The large size of the data and…