dc.description.abstract | This paper presents an adaptive learning model for market-making under the reinforcement learning framework. Reinforcement learning is a learning technique in which agents aim to maximize the long-term accumulated rewards. No knowledge of the market environment, such as the order arrival or price process, is assumed. Instead, the agent learns from real-time market experience and develops explicit market-making strategies, achieving multiple objectives including the maximizing of profits and minimization of the bid-ask spread. The simulation results show initial success in bringing learning techniques to building market-making algorithms. | en_US |