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High frequency automated market making algorithms with adverse selection risk control via reinforcement learning

Muchen Zhao, Vadim Linetsky. High frequency automated market making algorithms with adverse selection risk control via reinforcement learning. In Anisoara Calinescu, Lukasz Szpruch, editors, ICAIF'21: 2nd ACM International Conference on AI in Finance, Virtual Event, November 3 - 5, 2021. ACM, 2021. [doi]

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