Preprint
Sep 2026
Deep Learning of Robust Market Making under Regime-Switching Order Flow
A deep reinforcement-learning market maker (RLMM) is developed - a Rainbow-style distributional DQN (C51) which is calibrated and tested in a zero-intelligence limit order book and finds that, in the stationary setting, RLMM outperforms GLFT across the entire observed risk-return frontier.
F. Moret, Fabrizio Lillo
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