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Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost
Jose Figureoa-Lopez/ WashU
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand...
Optimal PhiBE — A Model-Free PDE-Based Framework for Continuous-Time Reinforcement Learning
Yuhua Zhu, UCLA
This talk addresses continuous-time reinforcement learning (RL) in settings where the system dynamics are governed by a stochastic...
