This was part of Machine Learning and Mean-Field Games

Market making algorithms: the next success of Reinforcement Learning?

Olivier Gueant, Université Paris 1 Pantheon Sorbonne
Wednesday, May 25, 2022

In this talk, I will discuss a problem that has been quite topical in the financial industry in the last few years: market making automation in OTC markets. In particular, I want to advocate that the optimal control models introduced in the literature can be adapted to allow for the use of reinforcement learning techniques that could be used in practice, notably in FX and fixed income. The talk will be based on ideas developed in a series of papers I co-authored about market making and in a chapter entitled "Reinforcement Learning Methods in Algorithmic Trading" I wrote in the forthcoming book "Machine Learning And Data Sciences For Financial Markets" edited by A. Capponi and C.-A. Lehalle.