Reproduce “Regret Bounds for Market Making with Persistent Orders” on OpenResearch
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About this paper
Nicolò Cesa-Bianchi, Tommaso Cesari, Roberto Colomboni, Luigi Foscari, Vinayak Pathak
The authors analyze adversarial market making with persistent, non-cancellable orders, proposing deterministic ask-only and bid-ask policies based on the latest observed prices and adjustable discounts. For ask-only quotes, static regret is bounded by H_T + V_T + 2W_T, while dynamic regret is at most 1 + 3√(T−1) + V_T + 2W_T. These are worst-case guarantees, not measured profits, and include price-exposure costs.
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