{"paper":{"title":"Learning Market Making with Closing Auctions","license":"http://creativecommons.org/licenses/by/4.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"q-fin.TR","authors_text":"Julius Graf, Thibaut Mastrolia","submitted_at":"2026-01-24T00:50:35Z","abstract_excerpt":"In this work, we investigate a market making execution problem on a trading session in which a continuous phase on a limit order book is followed by a closing auction. Whereas standard optimal market making models typically rely on terminal inventory penalties to manage end-of-day risk, ignoring the significant liquidity events available in closing auctions, we propose a deep reinforcement learning framework, consisting of a Deep Q-Network and its continuous-control actor-critic extensions (DDPG, TD3 and SAC), that explicitly incorporates this mechanism. We introduce a market making framework "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"2601.17247","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"integrity":{"clean":true,"summary":{"advisory":0,"critical":0,"by_detector":{},"informational":0},"endpoint":"/pith/2601.17247/integrity.json","findings":[],"available":true,"detectors_run":[],"snapshot_sha256":"c28c3603d3b5d939e8dc4c7e95fa8dfce3d595e45f758748cecf8e644a296938"},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}