machine-learning-market-maker

Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das

Member Variables:
Symbol: Ticker for security
Distribution: A map of prices with a probability for each price
Pa: Ask price, double
Pb: Bid price, double
Alpha: Percentage of noisy informed traders, double
Noise: Noise magnitude of noisy informed traders, double
Shift: Difference from 0-profit market maker, double
TruePrice: 'True price' traded upon by our model