A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm

Open Access

Peer-reviewed

Research Article

About the Authors

Javier Falces Marin

Roles Conceptualization, Data curation, Formal analysis, Investigation, Resources, Software, Validation, Visualization, Writing – original draft

Affiliation Escuela Técnica Superior de Ingenieros de Telecomunicación, SSR, Universidad Politécnica de Madrid, Madrid, Spain

David Díaz Pardo de Vera

Roles Conceptualization, Project administration, Supervision, Writing – review & editing

Affiliation Escuela Técnica Superior de Ingenieros de Telecomunicación, SSR, Universidad Politécnica de Madrid, Madrid, Spain

Eduardo Lopez Gonzalo

Roles Formal analysis, Funding acquisition, Methodology, Supervision, Validation, Writing – review & editing

Affiliation Escuela Técnica Superior de Ingenieros de Telecomunicación, SSR, Universidad Politécnica de Madrid, Madrid, Spain

The authors have declared that no competing interests exist.

Machine learning algorithms
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Neural networks
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Genetic algorithms
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Algorithms
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Machine learning
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Genetics
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Neurons
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Money supply and banking
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