Applied Reinforcement Learning with Python: With OpenAI Gym, Tensorflow, and Keras

© Taweh Beysolow II 2019

T. Beysolow IIApplied Reinforcement Learning with Pythonhttps://doi.org/10.1007/978-1-4842-5127-0_4

4. Market Making via Reinforcement Learning

Taweh Beysolow II¹ 

(1)

San Francisco, CA, USA

 

Separate from just attacking some of the standard problems in reinforcement learning as they are found in many books as an example, it’s good to look at fields where the answers are either not as objective nor completely solved. One of the best examples of this in finance, specifically for reinforcement learning, is market making. We will discuss the discipline itself, present some baseline method that isn’t based on machine learning, and then test several reinforcement learning–based methods.

What Is Market Making?

In financial markets, ...