82 citations · 194 across the 14 of their papers we have counts for
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q-fin.TR2025★ 2 cited
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…
q-fin.TR2025★ 4 cited
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…
q-fin.TR2023★ 1 cited
An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics
Haochen Li, Yi Cao, Maria Polukarov +1
In this study, we introduce a physical model inspired by statistical physics for predicting price volatility and expected returns by leveraging Level 3 order book data. By drawing…