Anionic polymerization of lactams is carried out in an extruder into which at least one lactam, at least one catalyst and at least one activating agent are introduced and wherein the mixture of said substances is polymerized prior to being extruded through an extrusion die. The output rate of the polymerized substance is controlled by transfer means, such as a metering pump, arranged between the outlet of the body of the extruder and the extrusion die.