Towards Inverse Reinforcement Learning for Limit Order Book Dynamics

no code implementations • 11 Jun 2019 • Jacobo Roa-Vicens, Cyrine Chtourou, Angelos Filos, Francisco Rullan, Yarin Gal, Ricardo Silva

Given the expert agent's demonstrations, we attempt to discover their strategy by modelling their latent reward function using linear and Gaussian process (GP) regressors from previous literature, and our own approach through Bayesian neural networks (BNN).

reinforcement-learning Reinforcement Learning (RL)