Market Making and Incentives Design in the Presence of a Dark Pool: A Stackelberg Actor-Critic Approach

• 成果类型: Article
• 署名作者: Baldacci, Bastien; Manziuk, Iuliia; Mastrolia, Thibaut; Rosenbaum, Mathieu
• 署名单位: Institut Polytechnique de Paris; Ecole Polytechnique; University of California System; University of California Berkeley
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2022.2406
• 发表日期: 2023
• 页码: 727-749
• 关键词: frequency; price

摘要

We consider the issue of a market maker acting at the same time in the lit and dark pools of an exchange. The exchange wishes to establish a suitable make-take fee policy to attract transactions on its venues. We first solve the stochastic control problem of the market maker without the intervention of the exchange. Then, we derive the equations defining the optimal contract to be set between the market maker and the exchange. This contract depends on the trading flows generated by the market maker's activity on the two venues. In both cases, we show existence and uniqueness in the viscosity sense of the solutions of the Hamilton-Jacobi-Bellman equations associated to the market maker and exchange's problems. We finally design an actor-critic algorithm inspired by deep reinforcement learning methods, enabling us to approximate efficiently the optimal controls of the market maker and the optimal incentives to be provided by the exchange.