In high-frequency market making, action robustness (Sinkhorn regularization) dominates uncertainty tolerance in reshaping sequential quoting and inventory, while excessive robustness can cut execution opportunities in illiquid names.
Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limit Order Book Model , year=
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Robustness in Sequential Decision Making under Evolving Uncertainty: Evidence from High-Frequency Market Making
In high-frequency market making, action robustness (Sinkhorn regularization) dominates uncertainty tolerance in reshaping sequential quoting and inventory, while excessive robustness can cut execution opportunities in illiquid names.