feat: ML-powered pricing agent with online learning#25
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Adds MLPricingAgent — a market-making agent that uses recursive least squares (RLS) online regression to predict short-term price direction and dynamically adjust spreads and skew. - Online linear model with exponential forgetting for non-stationarity - Feature extraction: returns, volatility, momentum, inventory ratio - Volatility-adaptive spread width + ML-confidence-weighted skew - Inventory-aware bid/ask adjustment - 10 tests covering spread dynamics, inventory skew, rebalancing Co-Authored-By: Claude Opus 4.6 (1M context) <[email protected]>
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Summary
MLPricingAgent— market-making agent with online machine learningTest plan
🤖 Generated with Claude Code