Maybe another little bugs

tspooner / rl_markets

Market Making via Reinforcement Learning

https://arxiv.org/abs/1804.04216v1

BSD 3-Clause "New" or "Revised" License

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Maybe another little bugs #12

Open stephenkgu opened 4 years ago

stephenkgu commented 4 years ago

https://github.com/tspooner/rl_markets/blob/master/src/environment/base.cpp#L150

These lines just clear the rolling windows, not other data in it. With volatility RollingMean, this causes volatility accumulates between episodes, and becomes bigger and bigger. @tspooner

Regards,

tspooner commented 4 years ago

I think you're right. Looking back over the code, I suspect that (assuming stationary-ish marginal distributions over the observables) this doesn't cause many issues due to the particular implementation of the push(.) method. If anything, this should just degrade performance in some cases (i.e. with power 2 accumulates as you mention). If you want, please feel free to make the change to the clear() method and send a PR.

Regards, Tom