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picture1_Master Thesis Pdf 52669 | 4910 Adaptive Market Making Via Online Learning


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File: Master Thesis Pdf 52669 | 4910 Adaptive Market Making Via Online Learning
Adaptive Market Making via Online Learning Jacob Abernethy Satyen Kale ComputerScience and Engineering IBMT.J.WatsonResearchCenter University of Michigan sckale@us.ibm.com jabernet@umich.edu Abstract Weconsider the design of strategies ...

icon picture PDF Filetype PDF | Posted on 20 Aug 2022 | 2 years ago

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...Adaptive market making via online learning jacob abernethy satyen kale computerscience and engineering ibmt j watsonresearchcenter university of michigan sckale us ibm com jabernet umich edu abstract weconsider the design strategies for in an exchange a makergenerally seeks to prot from difference between buy sell price ofanasset yetthemarketmakeralsotakesexposureriskintheeventoflargeprice movements protguaranteesformarketmakingstrategieshavetypicallyrequired certain stochastic assumptions on uctuations asset question example assuming model which process is mean reverting we propose class spread based whose performance canbecontrolledevenunderworst case adversarial settings weprovestructural properties these allows master algorithm obtains low regret relative best such strategy hindsight run set experimentsshowingfavorableperformanceonrecentreal worldstockpricedata introduction when trader enters say stock or commodity with desire quantity how this guaranteed nd counterparty agree tran...
								

							

						
	
												
				
					
					
					
			
					
				
				
		
	

	
		





	

	
				

						

						
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										Category:  Uncategorized / Uncategorized 
										
Posted on: 20 Aug 2022 | 2 years ago
										
										
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Filetype: PDF
										
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