Liquidity provision via online learning

NicolAs Della Penna (NICTA)

NICTA SML SEMINAR Machine Learning Research Group Seminar, two of two seminars

DATE: 2013-03-28
TIME: 11:15:00 - 12:00:00
LOCATION: NICTA - 7 London Circuit
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ABSTRACT:
An important role of market makers is liquidity provision, which can increase social welfare by enabling price discovery and decreasing the frictions of finding a counter party. In light of the strong connection between market making and online learning, we consider how liquidity provision in settings where agents utilities are not interchangeable with money can be cast as an online learning problem.

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