Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor–Critic Approach

DOI10.1287/opre.2022.2406arXiv1912.01129OpenAlexW4311730241MaRDI QIDQ6192846

Iuliia Manziuk, Mathieu Rosenbaum, Bastien Baldacci, Thibaut Mastrolia

Publication date: 12 March 2024

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.01129

zbMATH Keywords

regulationstochastic controlprincipal-agent problemmarket makingdeep reinforcement learningdark poolsactor-critic methodmake-take fees

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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