What is it about?

In this paper, we explain how to use a beta distribution to place orders in a limit order book. This approach generalises many of the approaches taken in the learning literature for the market-making problem. It also permits a low-dimensional representation, making it perfect for use as a reinforcement learning action.

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This page is a summary of: Market Making with Scaled Beta Policies, October 2022, ACM (Association for Computing Machinery),
DOI: 10.1145/3533271.3561745.
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