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.
arXiv preprint arXiv:2411.13993 , year=
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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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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.