{
  "abstract": "We propose a signature-based method to solve the optimal market-making problem under a mean-variance criterion. By exploiting signature linearization techniques, we reduce the market-making problem to a pseudo-linear optimization over the expected signature of an augmented market path, and we develop a signature algorithm named Sig-REINFORCE to learn the optimal bid and ask quotes. We test our method in two scenarios, in which market-order arrivals follow either a Poisson or a self-exciting Hawkes process, and we benchmark it against a Proximal Policy Optimization (PPO) baseline.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2606.19772",
  "author_total": 3,
  "authors": [
    {
      "name": "Alberto Gennaro"
    },
    {
      "name": "Thibaut Mastrolia"
    },
    {
      "name": "Francesca Primavera"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/c4j41btrm0k93.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2606.19772",
  "fulltext_url": null,
  "id": "c4j41btrm0k93",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2606.19772",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "math.OC"
    ],
    [
      "openalex",
      "2003|Stochastic processes and financial applications"
    ]
  ],
  "openalex": "W7165355451",
  "pdf_url": "https://arxiv.org/pdf/2606.19772",
  "pmcid": null,
  "pmid": null,
  "published": "2026-10-21",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/c4j41btrm0k93.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:34:22Z",
      "native_id": "2606.19772",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2606.19772"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.OC",
      "subfield": "optimisation-control"
    }
  ],
  "title": "Signature Methods for Optimal Market Making",
  "title_text": "Signature Methods for Optimal Market Making",
  "type": "preprint",
  "updated_at": "2026-10-30T12:34:22Z",
  "url": "https://research.draconitic.com/paper/c4j41btrm0k93",
  "venue": "arXiv",
  "versions": []
}