Dealing with the inventory risk: a solution to the market making problem (Q367376)
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scientific article; zbMATH DE number 6208207
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Dealing with the inventory risk: a solution to the market making problem |
scientific article; zbMATH DE number 6208207 |
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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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0.8695779
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0.86663467
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0.8404091
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0.8385514
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0.8237134
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0.81755984
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0.8154744
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