Optimal Execution Using Reinforcement Learning

This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by aligning data from multiple exchanges for the first time. Unlike most previous studies that focused on using single-exchange information, we discuss the impact of cross-exchange signals on the agent's decision-making in the optimal execution problem. Experimental results show that cross-exchange signals can provide additional information for the optimal execution of cryptocurrency to facilitate the optimal execution process.

Integrating Tick-level Data and Periodical Signal for High-frequency Market Making

We focus on the problem of market making in high-frequency trading. Market making is a critical function in financial markets that involves providing liquidity by buying and selling assets. However, the increasing complexity of financial markets and the high volume of data generated by tick-level trading makes it challenging to develop effective market making strategies. To address this challenge, we propose a deep reinforcement learning approach that fuses tick-level data with periodic prediction signals to develop a more accurate and robust market making strategy. Our results of market making strategies based on different deep reinforcement learning algorithms under the simulation scenarios and real data experiments in the cryptocurrency markets show that the proposed framework outperforms existing methods in terms of profitability and risk management.

Learning Hybrid Representations for Automatic 3D Vessel Centerline Extraction

Automatic blood vessel extraction from 3D medical images is crucial for vascular disease diagnoses. Existing methods based on convolutional neural networks (CNNs) may suffer from discontinuities of extracted vessels when segmenting such thin tubular structures from 3D images. We argue that preserving the continuity of extracted vessels requires to take into account the global geometry. However, 3D convolutions are computationally inefficient, which prohibits the 3D CNNs from sufficiently large receptive fields to capture the global cues in the entire image. In this work, we propose a hybrid representation learning approach to address this challenge. The main idea is to use CNNs to learn local appearances of vessels in image crops while using another point-cloud network to learn the global geometry of vessels in the entire image. In inference, the proposed approach extracts local segments of vessels using CNNs, classifies each segment based on global geometry using the point-cloud network, and finally connects all the segments that belong to the same vessel using the shortest-path algorithm. This combination results in an efficient, fully-automatic and template-free approach to centerline extraction from 3D images. We validate the proposed approach on CTA datasets and demonstrate its superior performance compared to both traditional and CNN-based baselines.