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Bandit Market Makers

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Date

2011

Authors

Della Penna, Nicolas
Reid, Mark

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Abstract

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.

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Citation

URI

http://hdl.handle.net/1885/186624

Collections

ANU Research Publications

Source

Computing Research Repository (CoRR)

Type

Conference paper

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Access Statement

Open Access

License Rights

Attribution-NonCommercial-ShareAlike 3.0 Unported (CC BY-NC-SA 3.0)

DOI

Restricted until

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