rl_markets

This repo contains the core code used to simulate limit order books and evaluate reinforcement-learning-based strategies for the paper "Market making via reinforcement learning" (https://arxiv.org/abs/1804.04216v1).

Dependencies:

• cmake

To build code, run:

./configure
cd build
make

To cleanup, run:

./configure clean

or:

rm -rf build

Note there may be certain issues with shared_ptr types across machines (especially between Linux and Mac OS X boxes).

References

Please use the following bibtex entry if citing this work.

@inproceedings{spooner2018market,
  author={Spooner, Thomas and Fearnley, John and Savani, Rahul and Koukorinis, Andreas},
  title={Market Making via Reinforcement Learning},
  booktitle={Proceedings of the 17th International Conference on Autonomous Agents and MultiAgent Systems},
  series={AAMAS '18},
  year={2018},
  location={Stockholm, Sweden},
  pages={434--442},
  publisher={International Foundation for Autonomous Agents and Multiagent Systems},
  keywords={limit order books, market making, td learning, tile coding},
}