3 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…
q-fin.PR2024
Pricing and hedging of decentralised lending contracts
Lukasz Szpruch, Marc Sabaté Vidales, Tanut Treetanthiploet +1
We study the loan contracts offered by decentralised loan protocols (DLPs) through the lens of financial derivatives. DLPs, which effectively are clearinghouses, facilitate transac…
cs.LG2024
-Policy Gradient for Online Pricing
Lukasz Szpruch, Tanut Treetanthiploet, Yufei Zhang
Combining model-based and model-free reinforcement learning approaches, this paper proposes and analyzes an -policy gradient algorithm for the online pricing learning task. The…