Robust Market Making with Hawkes Order Flow and Price Impact via Adversarial Reinforcement Learning

arXiv:2609.22785 · cs.LG · Submitted 2026-09-19 · Read on arXiv

cs.LG

Submitted: 2026-09-19

Updated: 2026-09-19

Comments: 18 pages, 2 figures. Includes theoretical analysis, numerical experiments, and supplementary results in the appendix

License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/

Terminology

• Reinforcement Learning — 3× in this paper · explained in 4 episodes
• Robustness — 3× in this paper · explained in 5 episodes
• Adversarial Training — 1× in this paper · explained in 1 episode
• Non-stationarity — 1× in this paper · explained in 2 episodes

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