Predictive market making via machine learning

DOI10.1007/S43069-022-00124-0MaRDI QIDQ2120114zbMATH OpenOpenAlexFDO

Authors Abbas Haider, Hui Wang, Bryan Scotney, Glenn I. Hawe

Publication date 31 March 2022

Published in SN Operations Research Forum (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s43069-022-00124-0

zbMATH Keywords

asset price predictiondeep neural networkmarket makingreinforcement learning

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

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Cites work

• Approximate dynamic programming with a fuzzy parameterization
• High-frequency trading in a limit order book
• Limit order books
• Market making with alpha signals
• Reinforcement learning. An introduction

Cited in

(4)

• Estimating permanent price impact via machine learning
• Are markets truly efficient? Experiments using deep learning algorithms for market movement prediction
• Making predictions of the profitability on the financial markets using discriminant analysis
• Machine learning architectures for price formation models

Describes a project that uses

Uses Software

• Approxrl

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