Dealing with the inventory risk: a solution to the market making problem (Q367376): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6208207
@@ Property / zbMATH DE Number: 6208207 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic optimal control
@@ Property / zbMATH Keywords: stochastic optimal control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high-frequency market making
@@ Property / zbMATH Keywords: high-frequency market making / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Avellaneda-Stoikov problem
@@ Property / zbMATH Keywords: Avellaneda-Stoikov problem / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / OpenAlex ID @@
+W2120949767
@@ Property / OpenAlex ID: W2120949767 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3115
@@ Property / arXiv ID: 1105.3115 / rank @@
+Normal rank
@@ Property / cites work @@
+High-frequency trading in a limit order book
@@ Property / cites work: High-frequency trading in a limit order book / rank @@
+Normal rank
@@ Property / cites work @@
+RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
+Normal rank
@@ Property / cites work @@
+Buy Low, Sell High: A High Frequency Trading Perspective
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio Liquidation with Limit Orders
@@ Property / cites work: Optimal Portfolio Liquidation with Limit Orders / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal high-frequency trading with limit and market orders
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:367376