The stochastic control problem of optimal market making is among the central problems in quantitative finance. In this paper, a deep reinforcement learning-based controller is trained on a weakly consistent, multivariate Hawkes process-based limit order book simulator to obtain market making controls. The proposed approach leverages the advantages of Monte Carlo backtesting and contributes to the line of research on market making under weakly consistent limit order book models. The ensuing deep reinforcement learning controller is compared to multiple market making benchmarks, with the results indicating its superior performance with respect to various risk-reward metrics, even under significant transaction costs.
翻译:最佳市场制造的随机控制问题是量化金融的核心问题之一;在本文件中,对深强化学习制衡员进行了培训,培训其掌握的是一个缺乏一致性、基于多种变量的霍克斯流程限量订单书模拟器,以获得市场制造控制;拟议办法利用蒙特卡洛回测试的优势,有助于在差强人意的限量订单书模型下进行市场制造研究;随后的深强化制导员被比作多个市场创建基准,其结果显示,即使交易费用高昂,它在各种风险回报指标方面表现优异。