Market making for digital assets

Market makers facilitate trading in electronic financial markets by simultaneously offering to buy and sell the same asset at any given time. Their role is to provide price stability and increase market liquidity to improve its overall efficiency. Digital assets markets are extremely fragmented and present both challenges and opportunities for market makers. These latter must offer participants accurate prices while balancing their asset inventory on many venues at the same time, what represents a difficult synchronization task. At the same time, this complex environment leaves room to arbitrage opportunities, which market makers can use to offset inventory risk. The project consists of developing dynamic programming and reinforcement algorithms that take advantage of this environment to improve the profitability of market makers while reducing their risk. To achieve this goal, a large volume of historical data is used in conjunction with a machine learning-based market simulator.

Jean-Francis Carignan
Superviseur universitaire: 
Fabian Bastin
Partner University: