# rl_markets

**Repository Path**: physer/rl_markets

## Basic Information

- **Project Name**: rl_markets
- **Description**: Market Making via Reinforcement Learning
- **Primary Language**: Unknown
- **License**: BSD-3-Clause
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 0
- **Created**: 2020-09-05
- **Last Updated**: 2020-12-19

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# rl_markets

This repo contains the core code used to simulate limit order books and
evaluate reinforcement-learning-based strategies for the paper "Market making
via reinforcement learning" (https://arxiv.org/abs/1804.04216v1).

Dependencies:
- cmake

To build code, run:

    ./configure
    cd build
    make

To cleanup, run:

    ./configure clean

or:

    rm -rf build


Note there may be certain issues with shared_ptr types across machines
(especially between Linux and Mac OS X boxes).

## References
Please use the following bibtex entry if citing this work.

```
@inproceedings{spooner2018market,
  author={Spooner, Thomas and Fearnley, John and Savani, Rahul and Koukorinis, Andreas},
  title={Market Making via Reinforcement Learning},
  booktitle={Proceedings of the 17th International Conference on Autonomous Agents and MultiAgent Systems},
  series={AAMAS '18},
  year={2018},
  location={Stockholm, Sweden},
  pages={434--442},
  publisher={International Foundation for Autonomous Agents and Multiagent Systems},
  keywords={limit order books, market making, td learning, tile coding},
}
```