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3.1 Feature Engineering

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Marc Juchli edited this page Apr 11, 2018 · 2 revisions

Private

Market

Bids / Asks

Bid-Ask-Feature

Creations / Cancellations

Toggle table of contents Pages 18

Home
0. Related Work
1. Preliminaries
1.1 Order book
1.2 Match Engine
1.3 Order Execution
1.4 Backtesting
1.5 Time Series
1.6 Reinforcement Learning
2. Data
3. Experimental Setup
3.1 Feature Engineering
3.2 RL Environment
3.3 RL Environment (Market Maker)
3.4 RL Agents
6. Evaluation
7. Conclusion
A1: Thesis request

Analysis

Order execution behaviour
Order execution behaviour (extension on artificial data)
Understanding order book events
Features from order book

Reinforcement Learning

Relationship of profit and reward
Q-Learning without market variables
Deep Q-Learning analysis

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Poster
Mid-term presentation
Final report
Final presentation
Final presentation (notes)

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16.11.17
15.01.18
14.03.18

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