2 papers
math.OC2025
Logarithmic regret in the ergodic Avellaneda-Stoikov market making model
Jialun Cao, David Šiška, Lukasz Szpruch +1
We analyse the regret arising from learning the price sensitivity parameter of liquidity takers in the ergodic version of the Avellaneda-Stoikov market making model. We show t…
math.OC2025
Entropic mean-field min-max problems via Best Response flow
Razvan-Andrei Lascu, Mateusz B. Majka, Åukasz Szpruch
We investigate the convergence properties of a continuous-time optimization method, the \textit{Mean-Field Best Response} flow, for solving convex-concave min-max games with entrop…