Computational Methods for Market Making Algorithms

DOI10.1007/978-3-031-11818-0_66MaRDI QIDQ6096556zbMATH OpenOpenAlexFDO

Authors Olivier Guéant

Publication date 15 September 2023

Published in Mathematics in Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-031-11818-0_66

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Recommendations

• Optimal market making
• Algorithmic market making for options
• Algorithmic trading in a microstructural limit order book model
• Optimal market making with persistent order flow
• Optimal market making in the foreign exchange market

Cites work

• Algorithmic and high-frequency trading
• Algorithmic trading with model uncertainty
• Algorithmic trading, stochastic control, and mutually exciting processes
• Buy Low, Sell High: A High Frequency Trading Perspective
• Closed-form Approximations in Multi-asset Market Making
• Dealing with the inventory risk: a solution to the market making problem
• Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
• General intensity shapes in optimal liquidation
• High-frequency trading in a limit order book
• Optimal market making
• Optimal market making under partial information with general intensities
• Optimal market making with persistent order flow
• Size matters for OTC market makers: General results and dimensionality reduction techniques
• The financial mathematics of market liquidity. From optimal execution to market making

Cited in

(2)

• Auctions as algorithms. Computerized trade execution and price discovery
• Algorithmic market making in dealer markets with hedging and market impact

This page was built for publication: Computational Methods for Market Making Algorithms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6096556)