Robust Market Making: To Quote, or not To Quote
Market making, studied by Wang, Ventre and Polukarov in 2025 with reinforcement learning. The abstract mentions a Sharpe ratio and profits but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“We demonstrate how occasional refusal to provide bid-ask quotes improves returns and/or Sharpe ratios.”
StrategyMarket makingliquidity premium
TechniqueReinforcement learning
ClaimSharpe ratioprofit
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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