Optimal liquidity provision
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Publication:2348293
DOI10.1016/J.SPA.2015.02.015zbMATH Open1403.91315arXiv1309.5235OpenAlexW3121711239MaRDI QIDQ2348293FDOQ2348293
Authors: Christoph Kühn, Johannes Muhle-Karbe 
Publication date: 11 June 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: A small investor provides liquidity at the best bid and ask prices of a limit order market. For small spreads and frequent orders of other market participants, we explicitly determine the investor's optimal policy and welfare. In doing so, we allow for general dynamics of the mid price, the spread, and the order flow, as well as for arbitrary preferences of the liquidity provider under consideration.
Full work available at URL: https://arxiv.org/abs/1309.5235
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Cites Work
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Cited In (10)
- RESOLVING THE LIQUIDITY PUZZLE
- Continuous time trading of a small investor in a limit order market
- A Leland model for delta hedging in central risk books
- Optimal portfolios of a small investor in a limit order market: a shadow price approach
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- SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
- SDEs with two reflecting barriers driven by optional processes with regulated trajectories
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