Deep Q-Learning Market Makers in a Multi-Agent Simulated Stock Market
Market makers play a key role in financial markets by providing liquidity. They usually fill order books with buy and sell limit orders in order to provide traders alternative price levels to operate. This paper focuses precisely on the study of these markets makers strategies from an agent-based perspective. In particular, we propose the application of Reinforcement Learning (RL) for the creation of intelligent market markers in simulated stock markets. This research analyzes how RL market maker agents behaves in non-competitive (only one RL market maker learning at the same time) and competitive scenarios (multiple RL market markers learning at the same time), and how they adapt their strategies in a Sim2Real scope with interesting results. Furthermore, it covers the application of policy transfer between different experiments, describing the impact of competing environments on RL agents performance. RL and deep RL techniques are proven as profitable market maker approaches, leading to a better understanding of their behavior in stock markets.
Multi-Task Learning on Networks
The multi-task learning (MTL) paradigm can be traced back to an early paper of Caruana (1997) in which it was argued that data from multiple tasks can be used with the aim to obtain a better performance over learning each task independently. A solution of MTL with conflicting objectives requires modelling the trade-off among them which is generally beyond what a straight linear combination can achieve. A theoretically principled and computationally effective strategy is finding solutions which are not dominated by others as it is addressed in the Pareto analysis. Multi-objective optimization problems arising in the multi-task learning context have specific features and require adhoc methods. The analysis of these features and the proposal of a new computational approach represent the focus of this work. Multi-objective evolutionary algorithms (MOEAs) can easily include the concept of dominance and therefore the Pareto analysis. The major drawback of MOEAs is a low sample efficiency with respect to function evaluations. The key reason for this drawback is that most of the evolutionary approaches do not use models for approximating the objective function. Bayesian Optimization takes a radically different approach based on a surrogate model, such as a Gaussian Process. In this thesis the solutions in the Input Space are represented as probability distributions encapsulating the knowledge contained in the function evaluations. In this space of probability distributions, endowed with the metric given by the Wasserstein distance, a new algorithm MOEA/WST can be designed in which the model is not directly on the objective function but in an intermediate Information Space where the objects from the input space are mapped into histograms. Computational results show that the sample efficiency and the quality of the Pareto set provided by MOEA/WST are significantly better than in the standard MOEA.Recent Advances in Reinforcement Learning in Finance
The rapid changes in the finance industry due to the increasing amount of data have revolutionized the techniques on data processing and data analysis and brought new theoretical and computational challenges. In contrast to classical stochastic control theory and other analytical approaches for solving financial decision-making problems that heavily reply on model assumptions, new developments from reinforcement learning (RL) are able to make full use of the large amount of financial data with fewer model assumptions and to improve decisions in complex financial environments. This survey paper aims to review the recent developments and use of RL approaches in finance. We give an introduction to Markov decision processes, which is the setting for many of the commonly used RL approaches. Various algorithms are then introduced with a focus on value and policy based methods that do not require any model assumptions. Connections are made with neural networks to extend the framework to encompass deep RL algorithms. Our survey concludes by discussing the application of these RL algorithms in a variety of decision-making problems in finance, including optimal execution, portfolio optimization, option pricing and hedging, market making, smart order routing, and robo-advising.
High-Dimensional Stock Portfolio Trading with Deep Reinforcement Learning
This paper proposes a Deep Reinforcement Learning algorithm for financial portfolio trading based on Deep Q-learning. The algorithm is capable of trading high-dimensional portfolios from cross-sectional datasets of any size which may include data gaps and non-unique history lengths in the assets. We sequentially set up environments by sampling one asset for each environment while rewarding investments with the resulting asset's return and cash reservation with the average return of the set of assets. This enforces the agent to strategically assign capital to assets that it predicts to perform above-average. We apply our methodology in an out-of-sample analysis to 48 US stock portfolio setups, varying in the number of stocks from ten up to 500 stocks, in the selection criteria and in the level of transaction costs. The algorithm on average outperforms all considered passive and active benchmark investment strategies by a large margin using only one hyperparameter setup for all portfolios.
Next Steps: Learning a Disentangled Gait Representation for Versatile Quadruped Locomotion
Quadruped locomotion is rapidly maturing to a degree where robots now routinely traverse a variety of unstructured terrains. However, while gaits can be varied typically by selecting from a range of pre-computed styles, current planners are unable to vary key gait parameters continuously while the robot is in motion. The synthesis, on-the-fly, of gaits with unexpected operational characteristics or even the blending of dynamic manoeuvres lies beyond the capabilities of the current state-of-the-art. In this work we address this limitation by learning a latent space capturing the key stance phases constituting a particular gait. This is achieved via a generative model trained on a single trot style, which encourages disentanglement such that application of a drive signal to a single dimension of the latent state induces holistic plans synthesising a continuous variety of trot styles. We demonstrate that specific properties of the drive signal map directly to gait parameters such as cadence, foot step height and full stance duration. Due to the nature of our approach these synthesised gaits are continuously variable online during robot operation and robustly capture a richness of movement significantly exceeding the relatively narrow behaviour seen during training. In addition, the use of a generative model facilitates the detection and mitigation of disturbances to provide a versatile and robust planning framework. We evaluate our approach on a real ANYmal quadruped robot and demonstrate that our method achieves a continuous blend of dynamic trot styles whilst being robust and reactive to external perturbations.