This brings me to another question I've been meaning to ask, which is: where does the AI live? I feel that for us to consider it a truly autonomous entity, it must live on the blockchain, with its code in the messages or something like that (or another decentralized structure).
Yes, it lives on the blockchain, or rather, all its data is saved there. If you start with an empty gamestate and replay the entire blockchain, then the marketmaker will be in exactly the same state as before. (for any given block height) There's also no server or similar for it, all calculations are done by the Huntercoin node.