roadmap.md

Roadmap for mbt_gym

General additions

• Stochastic and local volatility models for the midprice process. For example, the Heston or CEV model.
• Hawkes processes with more general kernels for the arrival rate process.
• Robust adversarial reinforcement learning. See, for example, the paper by Spooner and Savani.

Market making

• Market making with multiple assets.

Optimal execution

• More general price impact processes.
• Optimal execution with multiple assets