Dealing with the inventory risk: a solution to the market making problem (Q367376): Difference between revisions
From MaRDI portal
Changed an Item |
ReferenceBot (talk | contribs) Changed an Item |
||
| (4 intermediate revisions by 4 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2120949767 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1105.3115 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: High-frequency trading in a limit order book / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Buy Low, Sell High: A High Frequency Trading Perspective / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Optimal Portfolio Liquidation with Limit Orders / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Optimal high-frequency trading with limit and market orders / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 20:35, 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)
0 references
13 September 2013
0 references
stochastic optimal control
0 references
high-frequency market making
0 references
Avellaneda-Stoikov problem
0 references
