2 papers
q-fin.TR2026
Multi-Level Market Making with Reinforcement Learning
Patrick Cheridito, Moritz Weiss
We introduce a reinforcement learning framework for market making in a limit order book. Our algorithm aims to maximize trading revenue by dynamically submitting market and limit o…
q-fin.TR2025
Reinforcement Learning for Trade Execution with Market and Limit Orders
Patrick Cheridito, Moritz Weiss
In this paper, we introduce a novel reinforcement learning framework for optimal trade execution in a limit order book. We formulate the trade execution problem as a dynamic alloca…