📢 Research Collaboration in Quantitative Finance at RIML
We are seeking motivated students interested in quantitative finance, stochastic modeling, machine learning, and portfolio optimization. Selected researchers will work under the supervision of Dr. Rohban and collaborate with international professors and researchers affiliated with the University of Manchester, the Alan Turing Institute, Virginia Tech, and the Technical University of Munich
🔬 The following four research directions are available:
1️⃣ Reinforcement Learning in High-Frequency Market Making
Study the trade-off between time discretization, learning accuracy, and sample complexity in single- and multi-agent market making, including convergence to continuous-time optimal policies and Nash equilibria.
🔗 Paper: https://arxiv.org/abs/2407.21025
2️⃣ Stochastic Optimal Control for Multi-Asset Market Making
Develop scalable closed-form approximations to the Hamilton–Jacobi equations of multi-asset market-making models, enabling interpretable near-optimal quotes under correlated prices and portfolio-wide inventory risk.
🔗 Paper: https://arxiv.org/abs/1810.04383
3️⃣ Diffolio: A Diffusion Model for Multivariate Probabilistic Financial Time-Series Forecasting and Portfolio Construction Model the conditional joint distribution of future asset returns using hierarchical asset-level and market-level attention, and use the generated scenarios for risk-aware portfolio construction.
🔗 Paper: https://arxiv.org/abs/2511.07014
4️⃣ Structured Filtering for Jump-Diffusion Time Series Forecasting to infer hidden market states from partially observed jump-diffusion data and produce calibrated probabilistic forecasts of continuous movements and abrupt price shocks.
🔗 Paper: https://arxiv.org/abs/2605.24548
✉️ Interested candidates are invited to send their CV to:
[email protected]
arXiv.org
Reinforcement Learning in High-frequency Market Making
This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the...
July 26, 2026 5.3K 168
