A 4-action reinforcement learning market maker trained with Hawkes order arrivals at low volatility continues to provide two-sided quotes over 92% of the time and holds stable Sharpe ratios when tested at 100x higher volatility in simulation.
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ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility
A 4-action reinforcement learning market maker trained with Hawkes order arrivals at low volatility continues to provide two-sided quotes over 92% of the time and holds stable Sharpe ratios when tested at 100x higher volatility in simulation.