Deep Reinforcement Learning for Market Making
A market maker or liquidity provider is a company or an individual that quotes both a buy and a sell price in a financial instrument, commodity or service held in inventory, hoping to make a profit on the bid-offer spread. A successful market-maker therefore has to have a very good model of both sides of the marketplace in order to be profitable. Reinforcement learning (RL) is very well suited to this task because it forces these models to be good for the purposes of profitability. In this talk I will explore different applications of RL in the act of marking making in traditional exchanges, and in more novel, emerging spatio-temporal two-sided marketplaces such as those observed in ride-sharing markets.
Yunus did his PhD at the Machine Learning lab at the University of Cambridge, under the supervision of Carl Rasmussen and Zoubin Ghahramani, now chief scientist at Uber! His PhD was in scalable methods for a brand new type of Gaussian process known as the structured Gaussian process: a Gaussian process with a covariance structure chosen to make it scalable. After getting addicted to getting slow but awesome code run faster during his PhD, high-frequency trading seemed like a natural choice for Yunus, so he spent two years at Tower Research Capital, a New York-based quantitative hedge fund. He then switched gears (and countries) and joined one of the relatively older AI research labs in the Bay Area, namely Vicarious for another two years, where he worked on deep generative models and scalable sum-product networks. Getting the urge to apply some deep learning models in the wild, he joined comma.ai, a self-driving car startup in San Francisco, as Chief Machine Learning Officer. There he built an operational, self-driving system purely for the highway and congested highway traffic scenarios. Since then he has been a senior research scientist at Uber AI Labs, where he has implemented Bayesian optimization and reinforcement learning systems at Uber scale. He is also an advisor and investor in several ML startups across the globe.