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• W2126056473 abstract "We consider the design of strategies for market making in an exchange. A market maker generally seeks to profit from the difference between the buy and sell price of an asset, yet the market maker also takes exposure risk in the event of large price movements. Profit guarantees for market making strategies have typically required certain stochastic assumptions on the price fluctuations of the asset in question; for example, assuming a model in which the price process is mean reverting. We propose a class of spread-based market making strategies whose performance can be controlled even under worst-case (adversarial) settings. We prove structural properties of these strategies which allows us to design a master algorithm which obtains low regret relative to the best such strategy in hindsight. We run a set of experiments showing favorable performance on recent real-world stock price data." @default.
• W2126056473 created "2016-06-24" @default.
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• W2126056473 date "2013-12-05" @default.
• W2126056473 modified "2023-09-24" @default.
• W2126056473 title "Adaptive Market Making via Online Learning" @default.
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