Author

Fernando Acero

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#machine learning Preprint Oct 2026

Reinforcement Learning with Hawkes-Structured Networks for Market Making

Market making under realistic order-flow dynamics is challenging due to the clustered, self-exciting nature of order arrivals, which are naturally modeled by non-Markovian Hawkes processes. We propose a model-free reinforcement learning (RL) framework for market making with general Hawkes order-flow dynamics. We first...

Fernando Acero, Philipp Plank, Yu-Fei Zhang · 0 citations

Preprint Sep 2026

Diffusion models for dynamic volatility surface generation and data-driven hedging

We develop a diffusion-model framework for dynamic implied-volatility surface generation and evaluate its economic usefulness through data-driven hedging. The framework consists of two models. AD-Seq-Vol jointly learns the conditional evolution of the underlying asset return and the high-dimensional implied-volatility...

Yinbin Han, Jack Yuxiang Zhang, M. Torres et al. · 1 citation