[HTML][HTML] Reinforcement learning approaches to optimal market making

B Gašperov, S Begušić, P Posedel Šimović… - Mathematics, 2021 - mdpi.com
Market making is the process whereby a market participant, called a market maker,
simultaneously and repeatedly posts limit orders on both sides of the limit order book of a …

Deep LOB trading: Half a second please!

J Yin, HY Wong - Expert Systems with Applications, 2023 - Elsevier
We introduce an expert deep-learning system for limit order book (LOB) trading for markets
in which the stock tick frequency is longer than or close to 0.5 s, such as the Chinese A …

[HTML][HTML] Predicting high-frequency stock movement with differential transformer neural network

S Lai, M Wang, S Zhao, GR Arce - Electronics, 2023 - mdpi.com
Predicting stock prices has long been the holy grail for providing guidance to investors.
Extracting effective information from Limit Order Books (LOBs) is a key point in high …

From uniform models to generic representations: stock return prediction with pre-training

J You, T Han, L Shen - 2022 International Joint Conference on …, 2022 - ieeexplore.ieee.org
The emergence of deep learning has cast new light on the century-old problem of stock
return prediction. For single stock return prediction, incorporating peripheral data such as …

Kernel Market Impact Analysis in China A-Share Markets.

H Chou, J Han, C Huang… - Journal of Financial Data …, 2023 - search.ebscohost.com
With transaction-level market data for stocks in China A-share markets, the authors construct
individual stocks' kernel functions of market impact and analyze their statistical properties …

OCET: One-Dimensional Convolution Embedding Transformer for Stock Trend Prediction

P Yang, L Fu, J Zhang, G Li - … on Bio-Inspired Computing: Theories and …, 2022 - Springer
Due to the strong data fitting ability of deep learning, the use of deep learning for quantitative
trading has gradually sprung up in recent years. As a classical problem of quantitative …

[PDF][PDF] Reinforcement Learning Approaches to Optimal Market Making. Mathematics 2021, 9, 2689

B Gašperov, S Begušic, P Posedel Šimovic… - 2021 - academia.edu
Market making is the process whereby a market participant, called a market maker,
simultaneously and repeatedly posts limit orders on both sides of the limit order book of a …