An Operating Environment for the Jellybean Machine

The Jellybean Machine is a scalable MIMD concurrent processor consisting of special purpose RISC processors loosely coupled into a low latency network. I have developed an operating system to provide the supportive environment required to efficiently coordinate the collective power of the distributed processing elements. The system services are developed in detail, and may be of interest to other designers of fine grain, distributed memory processing networks.

Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.