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Adversarial recovery of agent rewards from latent spaces of the limit order book

Author

Listed:
  • Jacobo Roa-Vicens
  • Yuanbo Wang
  • Virgile Mison
  • Yarin Gal
  • Ricardo Silva

Abstract

Inverse reinforcement learning has proved its ability to explain state-action trajectories of expert agents by recovering their underlying reward functions in increasingly challenging environments. Recent advances in adversarial learning have allowed extending inverse RL to applications with non-stationary environment dynamics unknown to the agents, arbitrary structures of reward functions and improved handling of the ambiguities inherent to the ill-posed nature of inverse RL. This is particularly relevant in real time applications on stochastic environments involving risk, like volatile financial markets. Moreover, recent work on simulation of complex environments enable learning algorithms to engage with real market data through simulations of its latent space representations, avoiding a costly exploration of the original environment. In this paper, we explore whether adversarial inverse RL algorithms can be adapted and trained within such latent space simulations from real market data, while maintaining their ability to recover agent rewards robust to variations in the underlying dynamics, and transfer them to new regimes of the original environment.

Suggested Citation

  • Jacobo Roa-Vicens & Yuanbo Wang & Virgile Mison & Yarin Gal & Ricardo Silva, 2019. "Adversarial recovery of agent rewards from latent spaces of the limit order book," Papers 1912.04242, arXiv.org.
  • Handle: RePEc:arx:papers:1912.04242
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    File URL: http://arxiv.org/pdf/1912.04242
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    References listed on IDEAS

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    1. Jacobo Roa-Vicens & Cyrine Chtourou & Angelos Filos & Francisco Rullan & Yarin Gal & Ricardo Silva, 2019. "Towards Inverse Reinforcement Learning for Limit Order Book Dynamics," Papers 1906.04813, arXiv.org.
    2. Dieter Hendricks & Adam Cobb & Richard Everett & Jonathan Downing & Stephen J. Roberts, 2017. "Inferring agent objectives at different scales of a complex adaptive system," Papers 1712.01137, arXiv.org.
    3. Igor Halperin & Ilya Feldshteyn, 2018. "Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy," Papers 1805.06126, arXiv.org.
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