nmatare / rl_markets

Market Making via Reinforcement Learning

rl_markets

This repo contains the core code used to simulate limit order books and evaluate reinforcement-learning-based strategies for the paper "Market making via reinforcement learning" (https://arxiv.org/abs/1804.04216v1).

Dependencies:

• cmake

To build code, run:

./configure
cd build
make

To cleanup, run:

./configure clean

or:

rm -rf build

Note there may be certain issues with shared_ptr types across machines (especially between Linux and Mac OS X boxes).

References

Please use the following bibtex entry if citing this work.

@article{spooner2018market,
  title={Market Making via Reinforcement Learning},
  author={Spooner, Thomas and Fearnley, John and Savani, Rahul and Koukorinis, Andreas},
  journal={arXiv preprint arXiv:1804.04216},
  year={2018}
}