Market Making For Profit With Bandits

Nicholas Della Panna (NICTA)

NICTA SML SEMINAR

DATE: 2011-09-22
TIME: 11:00:00 - 12:00:00
LOCATION: NICTA - 7 London Circuit
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ABSTRACT:
We consider the problem of dynamically setting the level of liquidity provision and the magnitude of spreads for a market maker that seeks to maximise it's expected profits. We consider how recent work on the Bandits literature can be used to attack the problem and the assumptions that this requires about the preferences and behaviours of market participants.