Agent-based model with multi-agent RL shows market-maker profitability trends upward overall with rising aggregate market informedness as price-discovery benefits offset adverse-selection costs.
Journal of Financial Economics , volume =
3 Pith papers cite this work. Polarity classification is still indexing.
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UNVERDICTED 3representative citing papers
Introduces an entropy-regularized Bellman operator for certainty-equivalent risk-sensitive market making, proves O(h + λ(1+|log λ|)) convergence to the continuous-time value, and establishes performance bounds for Gibbs policies under quadratic Hamiltonian growth.
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.
citing papers explorer
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Market Informedness and Market-Maker Profitability: The Trade-Off Between Adverse Selection and Price Discovery
Agent-based model with multi-agent RL shows market-maker profitability trends upward overall with rising aggregate market informedness as price-discovery benefits offset adverse-selection costs.
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Entropy-Regularized Certainty-Equivalent Bellman Policies for Risk-Sensitive Market Making
Introduces an entropy-regularized Bellman operator for certainty-equivalent risk-sensitive market making, proves O(h + λ(1+|log λ|)) convergence to the continuous-time value, and establishes performance bounds for Gibbs policies under quadratic Hamiltonian growth.
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The Value of Information: A Puzzle
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.