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Efficient Market Making via Convex Optimization, and a Connection to Online Learning.
Jacob D. Abernethy
Yiling Chen
Jennifer Wortman Vaughan
Published in:
ACM Trans. Economics and Comput. (2013)
Keyphrases
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convex optimization
online learning
low rank
total variation
interior point methods
convex optimization problems
augmented lagrangian
convex relaxation
online convex optimization
semidefinite program
linear program
primal dual
norm minimization
convex constraints
training data
operator splitting
machine learning