{"about":{"site":"https://codewithpapers.app","non_affiliation":"Code with Papers and Syntology are not affiliated with, endorsed by, or sponsored by Papers with Code, Meta, or the pwc-archive mirror.","licence":"CC BY-SA 4.0","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","attribution":"https://codewithpapers.app/attribution","modified":"archive material modified by Syntology; see the attribution page"},"url":"/paper/logarithmic-regret-in-the-ergodic-avellaneda","title":"Logarithmic regret in the ergodic Avellaneda-Stoikov market making model","arxiv_id":"2409.02025","date":"2024-09-03","proceeding":null,"authors":["Jialun Cao","David Šiška","Lukasz Szpruch","Tanut Treetanthiploet"],"abstract":"We analyse the regret arising from learning the price sensitivity parameter $\\kappa$ of liquidity takers in the ergodic version of the Avellaneda-Stoikov market making model. We show that a learning algorithm based on a maximum-likelihood estimator for the parameter achieves the regret upper bound of order $\\ln^2 T$ in expectation. To obtain the result we need two key ingredients. The first is the twice differentiability of the ergodic constant under the misspecified parameter in the Hamilton-Jacobi-Bellman (HJB) equation with respect to $\\kappa$, which leads to a second--order performance gap. The second is the learning rate of the regularised maximum-likelihood estimator which is obtained from concentration inequalities for Bernoulli signals. Numerical experiments confirm the convergence and the robustness of the proposed algorithm.","url_abs":"https://arxiv.org/abs/2409.02025v1","url_pdf":"https://arxiv.org/pdf/2409.02025v1.pdf","source":{"archive":"pwc-archive (Hugging Face), CC BY-SA 4.0","snapshot":"2025-07-28","licence_url":"https://creativecommons.org/licenses/by-sa/4.0/legalcode","row_kind":"links_only","authors_date_abstract":"arXiv metadata, CC0 1.0 (https://info.arxiv.org/help/license), from the Kaggle arXiv metadata snapshot of 2026-09-12"},"code_links":[{"paper_slug":"logarithmic-regret-in-the-ergodic-avellaneda","repo_url":"https://github.com/Galen-Cao/MM_parmater_learning","is_official":1,"mentioned_in_paper":0,"mentioned_in_github":0,"framework":"none","reach":null}],"tasks":[],"methods":[],"datasets_introduced":[],"methods_introduced":[],"results":[],"syntology":{"atlas_url":null,"mcp":null,"developers":"https://syntology.ai/developers"},"arxiv_metadata":null,"syntology_extracted_results":null}