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.
The shadow price of latency: Improving intraday fill ratios in foreign exchange markets.SIAM Journal on Financial Mathematics, 12(1):254–294, 2021
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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.