In this paper, we proposed a market making quotation strategy based on deep learning structure and practical finance domain knowledge.
A market making quotation strategy based on deep learning structure and practical finance domain knowledge is proposed and it is demonstrated that the ...
In this paper, we proposed a market making quotation strategy based on deep learning structure and practical finance domain knowledge. The proposed dual agents ...
Hsu et al. (2018) equip the Black-Scholes model and a three-layer fully-connected feedforward network to estimate the bid-ask spread of option price ...
A Market Making Quotation Strategy Based on Dual Deep Learning Agents for Option Pricing and Bid-Ask Spread Estimation. Language, Chinese. Print this page.
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May 25, 2023 · Market makers usually quote limit orders on both ask and bid sides to capture spreads and make profits. Market makers, who provide liquidity and ...
Jan 26, 2022 · In this paper, we introduce the concept of predictive market marking (PMM) and present our method for PMM, which comprises a RL-based MM agent and a deep ...
Missing: Dual | Show results with:Dual
To solve the optimal market making problem for a single option, we approximate the market making strategy at each decision time by a neural network and train ...
Missing: Dual | Show results with:Dual
In this project, we have used tabular and deep reinforcement learning methods in order to find optimal market making strategies.
Missing: Dual | Show results with:Dual
In this article, we investigate the predictability of option price movement based on limit order book (LOB). Options are financial derivatives that offer the ...