Market Making with Model Uncertainty 1 Hee Su Roh $^{2}$, Yinyu Ye3 November 10, 2015 arXiv:1509.07155v4 [q-fin.TR] 10 Nov 2015 $^{1}$We thank the participants of the seminar held in 2015 at the Department of Management Science and Engineering, Stanford University for helpful comments. $^{2}$Research Scientist, Korea Advanced Institute of Science and Technology. Email: roh6828@kaist.ac.kr $^{3}$K.T.Li Chair Professor of Engineering, Department of Management Science and Engineering, Stanford University. Email: yinyu-ye@stanford.edu