A latency-aware reinforcement learning market maker with a DP teacher and trend predictor reports higher profits than baselines on four Chinese index futures datasets, with mixed risk-adjusted results.
Optimization of inventory holding cost due to price, weight, and volume of items
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Resolving Latency and Inventory Risk in Market Making with Reinforcement Learning
A latency-aware reinforcement learning market maker with a DP teacher and trend predictor reports higher profits than baselines on four Chinese index futures datasets, with mixed risk-adjusted results.