论文标题
通过缩放Beta政策的市场制造
Market Making with Scaled Beta Policies
论文作者
论文摘要
本文为做市商在订单驱动的市场中的行动介绍了新的代表。该代表使用缩放的beta分布,并在人工智能中采用了三种用于市场创作文献的方法:单价选择,梯子策略和“接触市场的市场制作”。梯子策略将统一的体积置于连续价格的间隔。基于Beta分布的缩放策略将这些策略推广,从而使数量在整个价格间隔内偏斜。我们证明,这种灵活性对于库存管理很有用,库存管理是做市商面临的主要挑战之一。 在本文中,我们进行了三个主要实验:首先,我们将基于Beta的动作与阶梯策略的特殊情况进行比较;然后,我们研究了简单固定分布的性能;最后,我们设计和评估了一种简单而直观的动态控制政策,该政策根据做市商已获得的签名库存来连续调整操作。所有经验评估都基于历史数据,每侧有50个级别。
This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three approaches taken in the artificial intelligence for market making literature: single price-level selection, ladder strategies and "market making at the touch". Ladder strategies place uniform volume across an interval of contiguous prices. Scaled beta distribution based policies generalise these, allowing volume to be skewed across the price interval. We demonstrate that this flexibility is useful for inventory management, one of the key challenges faced by a market maker. In this paper, we conduct three main experiments: first, we compare our more flexible beta-based actions with the special case of ladder strategies; then, we investigate the performance of simple fixed distributions; and finally, we devise and evaluate a simple and intuitive dynamic control policy that adjusts actions in a continuous manner depending on the signed inventory that the market maker has acquired. All empirical evaluations use a high-fidelity limit order book simulator based on historical data with 50 levels on each side.