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.
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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.