Deep Reinforcement Learning in Cryptocurrency Market Making

Jonathan Sadighian

Papers from arXiv.org

Abstract: 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 represents the observation space through limit order book data, and order flow arrival statistics. Within the experiment, a forward-feed neural network is used as the function approximator and two reward functions are compared. The performance of each combination of agent and reward function is evaluated by daily and average trade returns. Using this DRLMM framework, this paper demonstrates the effectiveness of deep reinforcement learning in solving stochastic inventory control challenges market makers face.

Date: 2019-11
New Economics Papers: this item is included in nep-big, nep-cmp, nep-ore and nep-pay
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.08647

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