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Bandit Market Makers

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Della Penna, Nicolas; Reid, Mark

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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.

dc.contributor.authorDella Penna, Nicolas
dc.contributor.authorReid, Mark
dc.date.accessioned2019-11-25T23:35:10Z
dc.date.available2019-11-25T23:35:10Z
dc.identifier.urihttp://hdl.handle.net/1885/186624
dc.description.abstractWe 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.
dc.format.mimetypeapplication/pdf
dc.language.isoen_AU
dc.rights© 2011 The Author(s)
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/3.0/
dc.sourceComputing Research Repository (CoRR)
dc.source.urihttps://arxiv.org/abs/1112.0076
dc.titleBandit Market Makers
dc.typeConference paper
local.description.notesImported from ARIES
dc.date.issued2011
local.identifier.absfor080109 - Pattern Recognition and Data Mining
local.identifier.ariespublicationu4963866xPUB167
local.type.statusPublished Version
local.contributor.affiliationDella Penna, Nicolas, College of Engineering and Computer Science, ANU
local.contributor.affiliationReid, Mark, College of Engineering and Computer Science, ANU
local.bibliographicCitation.startpage1
local.bibliographicCitation.lastpage7
local.identifier.absseo970108 - Expanding Knowledge in the Information and Computing Sciences
dc.date.updated2019-05-19T08:23:15Z
dcterms.accessRightsOpen Access
dc.provenanceAttribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0)
dc.rights.licenseAttribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0)
CollectionsANU Research Publications

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