We develop a data-driven approach for options market making. Using stock options data from CBOE, we find that both buy and sell orders exhibit strong self-excitation but insignificant cross-excitation. We show that a Hawkes process with a time-varying baseline intensity and the power law kernel...

We propose an actor-critic reinforcement learning (RL) algorithm for the optimal execution problem. We consider the celebrated Almgren-Chriss model in continuous time and formulate a relaxed stochastic control problem for execution under an entropy regularized mean-quadratic variation objective....