Jian Guo

Hui Niu, Siyuan Li, Jiahao Zheng et al.

Market making (MM) has attracted significant attention in financial trading owing to its essential function in ensuring market liquidity. With strong capabilities in sequential decision-making, Reinforcement Learning (RL) technology has achieved remarkable success in quantitative trading. Nonetheless, most existing RL-based MM methods focus on optimizing single-price level strategies which fail at frequent order cancellations and loss of queue priority. Strategies involving multiple price levels align better with actual trading scenarios. However, given the complexity that multi-price level strategies involves a comprehensive trading action space, the challenge of effectively training profitable RL agents for MM persists. Inspired by the efficient workflow of professional human market makers, we propose Imitative Market Maker (IMM), a novel RL framework leveraging both knowledge from suboptimal signal-based experts and direct policy interactions to develop multi-price level MM strategies efficiently. The framework start with introducing effective state and action representations adept at encoding information about multi-price level orders. Furthermore, IMM integrates a representation learning unit capable of capturing both short- and long-term market trends to mitigate adverse selection risk. Subsequently, IMM formulates an expert strategy based on signals and trains the agent through the integration of RL and imitation learning techniques, leading to efficient learning. Extensive experimental results on four real-world market datasets demonstrate that IMM outperforms current RL-based market making strategies in terms of several financial criteria. The findings of the ablation study substantiate the effectiveness of the model components.

Xiao-Yang Liu, Jingyang Rui, Jiechao Gao et al.

Deep reinforcement learning (DRL) has shown huge potentials in building financial market simulators recently. However, due to the highly complex and dynamic nature of real-world markets, raw historical financial data often involve large noise and may not reflect the future of markets, degrading the fidelity of DRL-based market simulators. Moreover, the accuracy of DRL-based market simulators heavily relies on numerous and diverse DRL agents, which increases demand for a universe of market environments and imposes a challenge on simulation speed. In this paper, we present a FinRL-Meta framework that builds a universe of market environments for data-driven financial reinforcement learning. First, FinRL-Meta separates financial data processing from the design pipeline of DRL-based strategy and provides open-source data engineering tools for financial big data. Second, FinRL-Meta provides hundreds of market environments for various trading tasks. Third, FinRL-Meta enables multiprocessing simulation and training by exploiting thousands of GPU cores. Our codes are available online at https://github.com/AI4Finance-Foundation/FinRL-Meta.

Mario Coppola, Jian Guo, Eberhard Gill et al.

This paper proposes a model-based framework to automatically and efficiently design understandable and verifiable behaviors for swarms of robots. The framework is based on the automatic extraction of two distinct models: 1) a neural network model trained to estimate the relationship between the robots' sensor readings and the global performance of the swarm, and 2) a probabilistic state transition model that explicitly models the local state transitions (i.e., transitions in observations from the perspective of a single robot in the swarm) given a policy. The models can be trained from a data set of simulated runs featuring random policies. The first model is used to automatically extract a set of local states that are expected to maximize the global performance. These local states are referred to as desired local states. The second model is used to optimize a stochastic policy so as to increase the probability that the robots in the swarm observe one of the desired local states. Following these steps, the framework proposed in this paper can efficiently lead to effective controllers. This is tested on four case studies, featuring aggregation and foraging tasks. Importantly, thanks to the models, the framework allows us to understand and inspect a swarm's behavior. To this end, we propose verification checks to identify some potential issues that may prevent the swarm from achieving the desired global objective. In addition, we explore how the framework can be used in combination with a "standard" evolutionary robotics strategy (i.e., where performance is measured via simulation), or with online learning.

Mario Coppola, Jian Guo, Eberhard K. A. Gill et al.

In this work, we explore emergent behaviors by swarms of anonymous, homogeneous, non-communicating, reactive robots that do not know their global position and have limited relative sensing. We introduce a novel method that enables such severely limited robots to autonomously arrange in a desired pattern and maintain it. The method includes an automatic proof procedure to check whether a given pattern will be achieved by the swarm from any initial configuration. An attractive feature of this proof procedure is that it is local in nature, avoiding as much as possible the computational explosion that can be expected with increasing robots, states, and action possibilities. Our approach is based on extracting the local states that constitute a global goal (in this case, a pattern). We then formally show that these local states can only coexist when the global desired pattern is achieved and that, until this occurs, there is always a sequence of actions that will lead from the current pattern to the desired pattern. Furthermore, we show that the agents will never perform actions that could a) lead to intra-swarm collisions or b) cause the swarm to separate. After an analysis of the performance of pattern formation in the discrete domain, we also test the system in continuous time and space simulations and reproduce the results using asynchronous agents operating in unbounded space. The agents successfully form the desired patterns while avoiding collisions and separation.