3 papers
q-fin.TR2023
Over-the-Counter Market Making via Reinforcement Learning
Zhou Fang, Haiqing Xu
The over-the-counter (OTC) market is characterized by a unique feature that allows market makers to adjust bid-ask spreads based on order size. However, this flexibility introduces…
q-fin.TR2023
Option Market Making via Reinforcement Learning
Zhou Fang, Haiqing Xu
Market making of options with different maturities and strikes is a challenging problem due to its highly dimensional nature. In this paper, we propose a novel approach that combin…
stat.ML2018
Efficacy of regularized multi-task learning based on SVM models
Shaohan Chen, Zhou Fang, Sijie Lu +1
This paper investigates the efficacy of a regularized multi-task learning (MTL) framework based on SVM (M-SVM) to answer whether MTL always provides reliable results and how MTL ou…