Online Market Making and the Value of Observing the Order Book

ArXi:2605.19584v1 Announce Type: new We study an online market-making problem in which a learner sequentially posts bid and ask prices for a single asset while interacting with traders holding private valuations. Unlike existing online learning formulations that assume fully censored feedback, we We show that this additional information fundamentally changes the learnability of the problem. In the stochastic setting with i.i.d.