No-Regret Revenue Maximization in Sequential Market Making Under Inventory Constraints
Market makers keep trading efficient by setting bid and ask prices for buyers and sellers. In sequential market making, trades happen independently based on price thresholds, requiring the market maker to maintain balanced, low-risk inventory over T rounds. This paper studies how to maximize revenue with unknown buyer and seller valuations using regret minimization. When the market maker only sees trade success or failure, an algorithm achieves regret and inventory bounds proportional to T to the power of 2/3. When full order book data is available for failed trades, regret and inventory limits improve significantly to the square root of T. We also establish a fundamental trade-off via a ...
| Authors | Davide Maran, Marcello Restelli, Francesco Emanuele Stradi |
|---|---|
| Primary category | cs.LG |
| Published | 17 October 2026 |
| Last updated at source | 17 October 2026 |
Popularity, last 4 days
0 now. Counts as reported by the source, snapshotted daily by Silytics.
Silytics shows public metadata from arXiv and links to the original. Information may be incomplete or out of date. Last refreshed 23 October 2026. Licenses and terms of the original apply to the work itself. Not financial, legal or professional advice.