Wasserstein Robust Market Making via Entropy Regularization
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866915184059088896 |
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| author | Fang, Zhou Israel, Arie |
| author_facet | Fang, Zhou Israel, Arie |
| contents | In this paper, we introduce a robust market making framework based on Wasserstein distance, utilizing a stochastic policy approach enhanced by entropy regularization. We demonstrate that, under mild assumptions, the robust market making problem can be reformulated as a convex optimization question. Additionally, we outline a methodology for selecting the optimal radius of the Wasserstein ball, further refining our framework's effectiveness. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_04072 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Wasserstein Robust Market Making via Entropy Regularization Fang, Zhou Israel, Arie Mathematical Finance Trading and Market Microstructure In this paper, we introduce a robust market making framework based on Wasserstein distance, utilizing a stochastic policy approach enhanced by entropy regularization. We demonstrate that, under mild assumptions, the robust market making problem can be reformulated as a convex optimization question. Additionally, we outline a methodology for selecting the optimal radius of the Wasserstein ball, further refining our framework's effectiveness. |
| title | Wasserstein Robust Market Making via Entropy Regularization |
| topic | Mathematical Finance Trading and Market Microstructure |
| url | https://arxiv.org/abs/2503.04072 |