In electronic trading markets often only the price or volume time series, that result from interaction of multiple market participants, are directly observable. In order to test trading strategies before deploying them to real-time trading, multi-age
nt market environments calibrated so that the time series that result from interaction of simulated agents resemble historical are often used. To ensure adequate testing, one must test trading strategies in a variety of market scenarios -- which includes both scenarios that represent ordinary market days as well as stressed markets (most recently observed due to the beginning of COVID pandemic). In this paper, we address the problem of multi-agent simulator parameter calibration to allow simulator capture characteristics of different market regimes. We propose a novel two-step method to train a discriminator that is able to distinguish between real and fake price and volume time series as a part of GAN with self-attention, and then utilize it within an optimization framework to tune parameters of a simulator model with known agent archetypes to represent a market scenario. We conclude with experimental results that demonstrate effectiveness of our method.
Machine learning (especially reinforcement learning) methods for trading are increasingly reliant on simulation for agent training and testing. Furthermore, simulation is important for validation of hand-coded trading strategies and for testing hypot
heses about market structure. A challenge, however, concerns the robustness of policies validated in simulation because the simulations lack fidelity. In fact, researchers have shown that many market simulation approaches fail to reproduce statistics and stylized facts seen in real markets. As a step towards addressing this we surveyed the literature to collect a set of reference metrics and applied them to real market data and simulation output. Our paper provides a comprehensive catalog of these metrics including mathematical formulations where appropriate. Our results show that there are still significant discrepancies between simulated markets and real ones. However, this work serves as a benchmark against which we can measure future improvement.
We demonstrate an application of risk-sensitive reinforcement learning to optimizing execution in limit order book markets. We represent taking order execution decisions based on limit order book knowledge by a Markov Decision Process; and train a tr
ading agent in a market simulator, which emulates multi-agent interaction by synthesizing market response to our agents execution decisions from historical data. Due to market impact, executing high volume orders can incur significant cost. We learn trading signals from market microstructure in presence of simulated market response and derive explainable decision-tree-based execution policies using risk-sensitive Q-learning to minimize execution cost subject to constraints on cost variance.
Random linear network codes can be designed and implemented in a distributed manner, with low computational complexity. However, these codes are classically implemented over finite fields whose size depends on some global network parameters (size of
the network, the number of sinks) that may not be known prior to code design. Also, if new nodes join the entire network code may have to be redesigned. In this work, we present the first universal and robust distributed linear network coding schemes. Our schemes are universal since they are independent of all network parameters. They are robust since if nodes join or leave, the remaining nodes do not need to change their coding operations and the receivers can still decode. They are distributed since nodes need only have topological information about the part of the network upstream of them, which can be naturally streamed as part of the communication protocol. We present both probabilistic and deterministic schemes that are all asymptotically rate-optimal in the coding block-length, and have guarantees of correctness. Our probabilistic designs are computationally efficient, with order-optimal complexity. Our deterministic designs guarantee zero error decoding, albeit via codes with high computational complexity in general. Our coding schemes are based on network codes over ``scalable fields. Instead of choosing coding coefficients from one field at every node, each node uses linear coding operations over an ``effective field-size that depends on the nodes distance from the source node. The analysis of our schemes requires technical tools that may be of independent interest. In particular, we generalize the Schwartz-Zippel lemma by proving a non-uniform version, wherein variables are chosen from sets of possibly different sizes. We also provide a novel robust distributed algorithm to assign unique IDs to network nodes.
