On Bid and Ask Side-Specific Tick Sizes

DOI10.1137/21m146065xzbMath1530.91543arXiv2005.14126OpenAlexW3032698347MaRDI QIDQ6091093

Mathieu Rosenbaum, Unnamed Author, Bastien Baldacci, Philippe Bergault

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.14126

zbMATH Keywords

stochastic controlviscosity solutionsmarket makinghigh frequency tradingfinancial regulationtick sizemodel with uncertainty zones

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial markets (91G15)

Cites Work

• Dealing with the inventory risk: a solution to the market making problem
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Buy Low, Sell High: A High Frequency Trading Perspective
• High-frequency trading in a limit order book
• User’s guide to viscosity solutions of second order partial differential equations
• VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS
• Optimal Make-Take Fees in a Multi Market-Maker Environment
• Optimal make–take fees for market making regulation
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