Robustness in Sequential Decision Making Under Evolving Uncertainty: Evidence from High-Frequency Market Making

By Ying Chen, Hoa Nguyen, Julian Sester, Hoang Hai Tran, Yijiong Zhang

Published 2026-07-10

Everscope rating

1645.6

Relevance to quantitative trading

9 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Robust Reinforcement Learning with Sinkhorn Ambiguity Sets. Problem types: Market Making, Reinforcement Learning, Sequential Decision Making, Risk Management, Optimization, Distributionally Robust Optimization.

arXiv:2607.08291 · Paper rankings

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