Ilija Ilievski

Deep Reinforcement Learning for Optimal Order Placement in a Limit Order Book

Financial trading is essentially a search problem. The buy-side agent must find a counterpart sell-side agent willing to trade the financial asset at the set quantity and price. The virtual space where the agents execute their trading actions is called limit-order book. We present a deep reinforcement learning algorithm for optimizing the execution of limit-order actions to find an optimal order placement. The reinforcement learning agent utilizes historical limit-order data to learn to an optimal compromise between fast order completion but with higher costs and slow, riskier order completion but with lower costs. We also give a technological overview of the system and discuss the challenges and potential future work.

Ph.D. candidate in Deep Learning, M.Eng. in Software Engineering for Machine Learning.

He is Interested in: Multimodal Deep Learning; Non-convex Optimization; (Visual) Question Answering; Natural Language Processing and Generation.

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