Poster
in
Workshop: Advances in Financial AI: Opportunities, Innovations, and Responsible AI
Wasserstein Robust Market Making via Entropy Regularization
Zhou Fang · Arie Israel
Abstract:
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.
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