Market making with exogenous competition

DOI10.1137/24M1679811MaRDI QIDQ6948691zbMATH OpenFDO

Authors Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt

Publication date 5 August 2025

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

Full work available at URL https://doi.org/10.1137/24M1679811

zbMATH Keywords

algorithmic tradingcompetitionliquidity provisionmarket makingmissed trades

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Financial markets (91G15) Optimal stochastic control (93E20)

Cites work

• Adaptive optimal market making strategies with inventory liquidation cost
• Algorithmic and high-frequency trading
• Algorithmic trading with model uncertainty
• 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
• Dynamic equilibrium of market making with price competition
• High-frequency trading in a limit order book
• scientific article; zbMATH DE number 1183917 (Why is no real title available?)
• Latency and liquidity risk
• Liquidity Provision with Adverse Selection and Inventory Costs
• Market making with alpha signals
• Optimal high-frequency trading with limit and market orders
• Optimal liquidity provision
• Optimal market making with persistent order flow
• The financial mathematics of market liquidity. From optimal execution to market making

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