Wasserstein Robust Market Making via Entropy Regularization
Wasserstein Robust Market Making via Entropy Regularization ArXiv ID: 2503.04072 “View on arXiv” Authors: Unknown Abstract In this paper, we introduce a robust market making framework based on Wasserstein distance, utilizing a stochastic policy approach enhanced by entropy regularization. We demonstrate that, under mild assumptions, the robust market making problem can be reformulated as a convex optimization question. Additionally, we outline a methodology for selecting the optimal radius of the Wasserstein ball, further refining our framework’s effectiveness. ...