31 citations · 63 across the 39 of their papers we have counts for
4 papers · 2 filters
DiffVolume: Diffusion Models for Volume Generation in Limit Order Books
Zhuohan Wang, Carmine Ventre
Modeling limit order books (LOBs) dynamics is a fundamental problem in market microstructure research. In particular, generating high-dimensional volume snapshots with strong tempo…
ARL-Based Multi-Action Market Making with Hawkes Processes and Variable Volatility
Ziyi Wang, Carmine Ventre, Maria Polukarov
We advance market-making strategies by integrating Adversarial Reinforcement Learning (ARL), Hawkes Processes, and variable volatility levels while also expanding the action space…
Robust Market Making: To Quote, or not To Quote
Ziyi Wang, Carmine Ventre, Maria Polukarov
Market making is a popular trading strategy, which aims to generate profit from the spread between the quotes posted at either side of the market. It has been shown that training m…
Performative Market Making
Charalampos Kleitsikas, Stefanos Leonardos, Carmine Ventre
Financial models do not merely analyse markets, but actively shape them. This effect, known as performativity, describes how financial theories and the subsequent actions based on…