Introduces action-dependent order-book feedback for online market making, yielding O(sqrt(T)) high-probability regret in stochastic i.i.d. and mean-reverting settings without smoothness assumptions, and O(T^{2/3}) in the adversarial case.
Journal of Statistical Mechanics: Theory and Experiment , volume=
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Online Market Making and the Value of Observing the Order Book
Introduces action-dependent order-book feedback for online market making, yielding O(sqrt(T)) high-probability regret in stochastic i.i.d. and mean-reverting settings without smoothness assumptions, and O(T^{2/3}) in the adversarial case.