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Open Access

Peer-reviewed

Research Article

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

Javier Falces Marin ,

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

* E-mail: javifalces@gmail.com

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

https://orcid.org/0000-0002-3891-8023

⨯
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
⨯

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

Javier Falces Marin,
David Díaz Pardo de Vera,
Eduardo Lopez Gonzalo

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Published: December 20, 2022
https://doi.org/10.1371/journal.pone.0277042

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