Bandit Market Makers
نویسندگان
چکیده
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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ورودعنوان ژورنال:
- CoRR
دوره abs/1112.0076 شماره
صفحات -
تاریخ انتشار 2011