Modelling crypto markets by multi-agent reinforcement learning

Johann Lussange, Stefano Vrizzi, Stefano Palminteri, Boris Gutkin
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Abstract

Building on a previous foundation work (Lussange et al. 2020), this study introduces a multi-agent reinforcement learning (MARL) model simulating crypto markets, which is calibrated to the Binance's daily closing prices of $153$ cryptocurrencies that were continuously traded between 2018 and 2022. Unlike previous agent-based models (ABM) or multi-agent systems (MAS) which relied on zero-intelligence agents or single autonomous agent methodologies, our approach relies on endowing agents with reinforcement learning (RL) techniques in order to model crypto markets. This integration is designed to emulate, with a bottom-up approach to complexity inference, both individual and collective agents, ensuring robustness in the recent volatile conditions of such markets and during the COVID-19 era. A key feature of our model also lies in the fact that its autonomous agents perform asset price valuation based on two sources of information: the market prices themselves, and the approximation of the crypto assets fundamental values beyond what those market prices are. Our MAS calibration against real market data allows for an accurate emulation of crypto markets microstructure and probing key market behaviors, in both the bearish and bullish regimes of that particular time period.
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通过多代理强化学习为加密货币市场建模
在之前的基础工作(Lussange 等人,2020 年)上,本研究引入了一个模拟加密市场的多代理强化学习(MARL)模型,该模型根据 2018 年至 2022 年期间连续交易的 Binance 153 美元加密货币的每日收盘价进行校准。与以往基于代理的模型(ABM)或多代理系统(MAS)依赖于零智能代理或单一自主代理方法不同,我们的方法依赖于赋予代理强化学习(RL)技术,以模拟加密市场。这种整合旨在通过自下而上的复杂性推理方法,同时模拟个体和集体代理,确保在近期此类市场的波动条件下和 COVID-19 时代的稳健性。我们模型的一个关键特征还在于,其自主代理基于两个信息来源进行资产价格估值:市场价格本身,以及超出这些市场价格的加密资产基本价值的近似值。我们根据真实市场数据进行 MAS 校准,可以准确模拟加密市场的微观结构,并在特定时期的熊市和牛市中探究关键的市场行为。
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