Dealing with the inventory risk: a solution to the market making problem (Q367376): Difference between revisions
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / OpenAlex ID: W2120949767 / rank | |||
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| Property / arXiv ID: 1105.3115 / rank | |||
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| Property / cites work: High-frequency trading in a limit order book / rank | |||
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| Property / cites work: RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES / rank | |||
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| Property / cites work: Buy Low, Sell High: A High Frequency Trading Perspective / rank | |||
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| Property / cites work: Optimal Portfolio Liquidation with Limit Orders / rank | |||
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| Property / cites work: Optimal high-frequency trading with limit and market orders / rank | |||
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Latest revision as of 21:35, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dealing with the inventory risk: a solution to the market making problem |
scientific article |
Statements
Dealing with the inventory risk: a solution to the market making problem (English)
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13 September 2013
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stochastic optimal control
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high-frequency market making
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Avellaneda-Stoikov problem
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