论文标题
跨流动性池的自适应交易策略
Adaptive trading strategies across liquidity pools
论文作者
论文摘要
在本文中，我们提供了一个灵活的框架，用于在不同场所列出的资产中进行最佳交易。我们考虑了场地不平衡和传播之间的依赖关系，并允许在不同限制和市场订单下部分执行限额订单。我们提出了模型参数的贝叶斯更新，以考虑可能不断变化的市场状况，并提出扩展名，包括短/长交易信号，市场影响或隐藏的流动性。为了解决交易者的随机控制问题，我们应用了有限的差异方法，还开发了深厚的增强学习算法，可以考虑更复杂的设置。
In this article, we provide a flexible framework for optimal trading in an asset listed on different venues. We take into account the dependencies between the imbalance and spread of the venues, and allow for partial execution of limit orders at different limits as well as market orders. We present a Bayesian update of the model parameters to take into account possibly changing market conditions and propose extensions to include short/long trading signals, market impact or hidden liquidity. To solve the stochastic control problem of the trader we apply the finite difference method and also develop a deep reinforcement learning algorithm allowing to consider more complex settings.
