Derives tight Θ(T^{2/3}) regret independent of outcome count m for adversarial agent types and Õ(√T) regret via explore-then-commit for fixed hidden type in single-dimensional binary-action contract design.
arXiv preprint arXiv:2411.13993 , year=
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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.
In a repeated market-maker/taker game with endogenous price impact, projected stochastic gradient ascent by adaptive agents reaches a region of persistent overpricing in finite time.
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Regret Minimization in Single-Dimensional Contract-Design with Binary Actions
Derives tight Θ(T^{2/3}) regret independent of outcome count m for adversarial agent types and Õ(√T) regret via explore-then-commit for fixed hidden type in single-dimensional binary-action contract design.
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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.
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The Invisible Handshake: Persistent Overpricing by Adaptive Market Agents
In a repeated market-maker/taker game with endogenous price impact, projected stochastic gradient ascent by adaptive agents reaches a region of persistent overpricing in finite time.