{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/market-making-via-reinforcement-learning","title":"Market Making via Reinforcement Learning","arxiv_id":"1804.04216","date":"2018-04-11","proceeding":null,"authors":["Thomas Spooner","John Fearnley","Rahul Savani","Andreas Koukorinis"],"abstract":"Market making is a fundamental trading problem in which an agent provides\nliquidity by continually offering to buy and sell a security. The problem is\nchallenging due to inventory risk, the risk of accumulating an unfavourable\nposition and ultimately losing money. In this paper, we develop a high-fidelity\nsimulation of limit order book markets, and use it to design a market making\nagent using temporal-difference reinforcement learning. We use a linear\ncombination of tile codings as a value function approximator, and design a\ncustom reward function that controls inventory risk. We demonstrate the\neffectiveness of our approach by showing that our agent outperforms both simple\nbenchmark strategies and a recent online learning approach from the literature.","url_abs":"http://arxiv.org/abs/1804.04216v1","url_pdf":"http://arxiv.org/pdf/1804.04216v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"abstracts"},"code_links":[{"paper_slug":"market-making-via-reinforcement-learning","repo_url":"https://github.com/tspooner/rl_markets","is_official":1,"mentioned_in_paper":1,"mentioned_in_github":1,"framework":"none","reach":{"status":"ok","spdx":"BSD-3-Clause"}}],"tasks":[{"task_slug":null,"task_name":"Position"},{"task_slug":"reinforcement-learning","task_name":"Reinforcement Learning"},{"task_slug":"reinforcement-learning-1","task_name":"Reinforcement Learning (RL)"},{"task_slug":"reinforcement-learning-2","task_name":"reinforcement-learning"}],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":"https://app.syntology.ai/?focus=1804.04216","mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}