Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. As a result, previously establishedmethods in the field of market microstructure becomes oftenfaulty or insufficient. Machine learning and, in particular, reinforcementlearning has become more ubiquitous in both finance and otherfields today with applications in trading and optimal execution. This thesisuses reinforcement learning to understand market microstructureby simulating a stock market based on NASDAQ Nordics and trainingmarket maker agents on this stock market. Simulations are run on both a dealer market and a limit orderbook marketdifferentiating it from previous studies. Using DQN and PPO algorithmson these simulated environments, where stochastic optimal controltheory has been mainly used before. The market maker agents successfullyreproduce stylized facts in historical trade data from each simulation,such as mean reverting prices and absence of linear autocorrelationsin price changes as well as beating random policies employed on thesemarkets with a positive profit & loss of maximum 200%. Other tradingdynamics in real-world markets have also been exhibited via theagents interactions, mainly: bid-ask spread clustering, optimal inventorymanagement, declining spreads and independence of inventory and spreads, indicating that using reinforcement learning with PPO and DQN arerelevant choices when modelling market microstructure. / Marknadens mikrostruktur studerar hur utbytet av finansiella tillgångar sker enligt explicita regler. Algoritmisk och högfrekvenshandel har förändrat moderna finansmarknaders strukturer under de senaste 5 till 10 åren. Detta har även påverkat pålitligheten hos tidigare använda metoder från exempelvis ekonometri för att studera marknadens mikrostruktur. Maskininlärning och Reinforcement Learning har blivit mer populära, med många olika användningsområden både inom finans och andra fält. Inom finansfältet har dessa typer av metoder använts främst inom handel och optimal exekvering av ordrar. I denna uppsats kombineras både Reinforcement Learning och marknadens mikrostruktur, för att simulera en aktiemarknad baserad på NASDAQ i Norden. Där tränas market maker - agenter via Reinforcement Learning med målet att förstå marknadens mikrostruktur som uppstår via agenternas interaktioner. I denna uppsats utvärderas och testas agenterna på en dealer – marknad tillsammans med en limit - orderbok. Vilket särskiljer denna studie tillsammans med de två algoritmerna DQN och PPO från tidigare studier. Främst har stokastisk optimering använts för liknande problem i tidigare studier. Agenterna lyckas framgångsrikt med att återskapa egenskaper hos finansiella tidsserier som återgång till medelvärdet och avsaknad av linjär autokorrelation. Agenterna lyckas också med att vinna över slumpmässiga strategier, med maximal vinst på 200%. Slutgiltigen lyckas även agenterna med att visa annan handelsdynamik som förväntas ske på en verklig marknad. Huvudsakligen: kluster av spreads, optimal hantering av aktielager och en minskning av spreads under simuleringarna. Detta visar att Reinforcement Learning med PPO eller DQN är relevanta val vid modellering av marknadens mikrostruktur.

No description available.

This thesis explores and compares traditional and reinforcement learning (RL) methods of performing 2D flight path planning in 3D space. A wide overview of natural, classic, and learning approaches to planning s done in conjunction with a review of some general recurring problems and tradeoffs that appear within planning. This general background then serves as a basis for motivating different possible solutions for this specific problem. These solutions are implemented, together with a testbed inform of a parallelizable simulation environment. This environment makes use of random world generation and physics combined with an aerodynamical model. An A* planner, a local RL planner, and a global RL planner are developed and compared against each other in terms of performance, speed, and general behavior. An autopilot model is also trained and used both to measure flight feasibility and to constrain the planners to followable paths. All planners were partially successful, with the global planner exhibiting the highest overall performance. The RL planners were also found to be more reliable in terms of both speed and followability because of their ability to leave difficult decisions to the autopilot. From this it is concluded that machine learning in general, and reinforcement learning in particular, is a promising future avenue for solving the problem of flight route planning in dangerous environments.

Power flow (PF) control can increase the utilization of the transmission system and connect lower cost generation with load. While PF controllers have demonstrated the ability to realize dynamic PF control for more than 25 years, PF control has been sparsely implemented. This research re-examines PF control in light of the recent development of fractionally-rated PF controllers and the incremental power flow (IPF) control concept. IPF control is the transfer of an incremental quantity of power from a specified source bus to specified destination bus along a specified path without influencing power flows on circuits outside of the path. The objectives of the research are to develop power system operation and planning methods compatible with IPF control, test the technical viability of IPF control, develop transmission planning frameworks leveraging PF and IPF control, develop power system operation and planning tools compatible with PF control, and quantify the impacts of PF and IPF control on multi-decade transmission planning. The results suggest that planning and operation of the power system are feasible with PF controllers and may lead to cost savings. The proposed planning frameworks may incent transmission investment and be compatible with the existing transmission planning process. If the results of the planning tool demonstration scale to the national level, the annual savings in electricity expenditures would be $13 billion per year (2010$). The proposed incremental packetized energy concept may facilitate a reduction in the environmental impact of energy consumption and lead to additional cost savings.