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q-fin.TR2026
Deep Learning of Robust Market Making under Regime-Switching Order Flow
Felipe Moret, Fabrizio Lillo
Classical market-making strategies based on stochastic control, such as the Avellaneda-Stoikov and the Guéant-Lehalle-Fernandez-Tapia (GLFT) extension, provide closed-form quoting…
q-fin.TR2026
Can Reinforcement Learning Efficiently Discover Price Manipulation?
Ioanna-Yvonni Tsaknaki, Andrea Macrì, Fabrizio Lillo
In this paper, we investigate whether a model-free RL agent can identify and exploit price manipulation opportunities more effectively than a traditional model-based approach that…