This is a study of An Electronic Market-Maker by Nicholas Tung Chan and Christian Shelton.
This is a Monte Carlo simulation of the basic model that computes the expected profit. The following is a reproduction of Figure 3 from the paper:
These are plots of the true price and market price for strategies 1, 2, and 3, respectively, when the noise factor alphaU = 0.4:
These are plots of the true price and market price for strategies 1, 2, and 3, respectively, when the noise factor alphaU = 1.0:
These are plots of the true price and market price for strategies 1, 2, and 3, respectively, when the noise factor alphaU = 1.6:
This is an implementation of the basic model that uses the SARSA learning method to choose the optimum strategy. The following is a reproduction of Figure 5 from the paper:
- Episode 25
- Episode 100
- Episode 200
- Episode 500
The following is a reproduction of Figure 6a from the paper:
The following is a reproduction of Figure 6b from the paper:
The following is a reproduction of Figure 6c from the paper:
This is an implementation of the extended model that uses the SARSA learning method to choose the optimum spread. The following is a reproduction of Figure 9 from the paper:
- Episode 25
- Episode 100
- Episode 200
- Episode 500
The following is a reproduction of Figure 10a from the paper:
The following is a reproduction of Figure 10b from the paper:
The following is a reproduction of Figure 10c from the paper:
The following is a reproduction of Figure 10d from the paper:
