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dc.rights.licensehttps://creativecommons.org/licenses/by-sa/2.5/ar/es_AR
dc.contributor.advisorRoccatagliata, Pablo
dc.contributor.authorParrotta, Agustínes_AR
dc.date.accessioned2023-10-04T14:14:57Z
dc.date.available2023-10-04T14:14:57Z
dc.date.issued2023
dc.identifier.urihttps://repositorio.utdt.edu/handle/20.500.13098/12063
dc.description.abstractAutomated market makers have gained popularity in the financial market for their ability to provide liquidity without needing a centralized intermediary (market maker). However, they suffer from the problems of slippage and impermanent loss, which can lead to losses for both liquidity providers and takers. This work implements a pseudo-arbitrage rule to solve the impermanent loss issues related to arbitrage opportunities. The mechanism implements a trusted external oracle to get the market conditions, put them on the automated market maker, and match the bonding curve to them. Next, the application of a Double Deep Q-Learning reinforcement learning algorithm is proposed to reduce these issues in automated market makers. The algorithm adjusts the curvature of the bonding curve function to adapt to market conditions quickly. This work describes the model, the simulation environment used to learn and test the proposed approach, and the metrics used to evaluate its performance. Finally, it explains the results of the experiments and analysis of their implications. The approach shows promise in reducing slippage and impermanent loss and recommending improvements and future works.es_AR
dc.format.extent57 p.es_AR
dc.format.mediumapplication/pdfes_AR
dc.languageenges_AR
dc.publisherUniversidad Torcuato Di Tellaes_AR
dc.rightsinfo:eu-repo/semantics/openAccesses_AR
dc.subjectFinanzases_AR
dc.subjectAutomatizaciónes_AR
dc.subjectDecision makinges_AR
dc.subjectToma de Decisioneses_AR
dc.subjectMercados Financieroses_AR
dc.titleDefy the Game: Automated Market Making using Deep Reinforcement Learninges_AR
dc.typeinfo:eu-repo/semantics/articlees_AR
dc.type
thesis.degree.nameMaestría en Finanzas
dc.subject.keywordQ-learninges_AR
dc.subject.keywordAprendizaje automáticoes_AR
dc.subject.keywordAutomated Market Makeres_AR
dc.subject.keywordLiquidity Provideres_AR
dc.subject.keywordLiquidity Takeres_AR
dc.subject.keywordDivergence Losses_AR
dc.subject.keywordSlippagees_AR
dc.subject.keywordComputational Financees_AR
dc.subject.keywordUnsupervised Learninges_AR
dc.subject.keywordDeep Reinforcement Learninges_AR
dc.subject.keywordMarkov Decision Processes_AR
dc.type.versioninfo:eu-repo/semantics/acceptedVersiones_AR


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