让做市商偶尔不报价，能提升收益和稳定性。
Robust Market Making: To Quote, or not To Quote
- 允许做市商选择不报价或单边报价，扩展策略空间。
- 实验显示偶尔拒报可提升收益与夏普比率。
- 适合关注做市策略鲁棒性与实操性的研究者。
做市是通过买卖报价差获利的常见交易策略。已有研究表明，采用对抗强化学习训练做市商（MM）可增强其应对市场变化的能力，提升稳健性。然而以往研究假设做市商始终持续报价，而实际中并不强制，即使注册做市商也只需满足市场规定的报价比例。本文在此基础上，拓展做市商策略空间，允许其偶尔不报价或仅提供单边报价。为此，设计了两个新代理：第一个可在双侧报价与不报价间选择；第二个还可选择仅报买价或卖价。采用模型驱动方法，在多种对抗环境下对比连续报价的做市商与上述两种新代理的表现。结果表明，偶尔拒绝报价可显著提升收益与夏普比率。训练良好的做市商报价比例基本满足市场要求，部分情况下可达99.9%。
原文摘要 · Abstract (English)
Market making is a popular trading strategy, which aims to generate profit from the spread between the quotes posted at either side of the market. It has been shown that training market makers (MMs) with adversarial reinforcement learning allows to overcome the risks due to changing market conditions and to lead to robust performances. Prior work assumes, however, that MMs keep quoting throughout the trading process, but in practice this is not required, even for ``registered'' MMs (that only need to satisfy quoting ratios defined by the market rules). In this paper, we build on this line of work and enrich the strategy space of the MM by allowing to occasionally not quote or provide single-sided quotes. Towards this end, in addition to the MM agents that provide continuous bid-ask quotes, we have designed two new agents with increasingly richer action spaces. The first has the option to provide bid-ask quotes or refuse to quote. The second has the option to provide bid-ask quotes, refuse to quote, or only provide single-sided ask or bid quotes. We employ a model-driven approach to empirically compare the performance of the continuously quoting MM with the two agents above in various types of adversarial environments. We demonstrate how occasional refusal to provide bid-ask quotes improves returns and/or Sharpe ratios. The quoting ratios of well-trained MMs can basically meet any market requirements, reaching up to 99.9$\%$ in some cases.
Thank you to arXiv for use of its open access interoperability. PaperDance 不是 arXiv 官方产品；中文卡片由大模型生成，请以原文为准。