Bandit Market Makers
We propose a flexible framework for profit-seeking market making by combining cost function based automated market makers with bandit learning algorithms. The key idea is to consider each parametrisation of the cost function as a bandit arm, and the minimum expected profits from trades executed during a period as the rewards. This allows for the creation of market makers that can adjust liquidity and bid-asks spreads dynamically to maximise profits.
|Collections||ANU Research Publications|
|Source:||Computing Research Repository (CoRR)|
|Access Rights:||Open Access|
|01_Della+Penna_Bandit_Market_Makers_2011.pdf||79.02 kB||Adobe PDF|
This item is licensed under a Creative Commons License