Optimal Market Making in the Foreign Exchange Market

DOI10.1080/13504860903387588zbMath1233.91346OpenAlexW1997932219MaRDI QIDQ2786211

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Publication date: 21 September 2010

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860903387588

zbMATH Keywords

stochastic controlproportional transaction costsmarket makingoptimal investment

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (4)

PRICE SETTING OF MARKET MAKERS: A FILTERING PROBLEM WITH ENDOGENOUS FILTRATION ⋮ Optimal placement in a limit order book: an analytical approach ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ Optimal high-frequency trading with limit and market orders

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal investment and consumption with transaction costs
• The Markov chain approximation approach for numerical solution of stochastic control problems: experiences from Merton's problem.
• Consumption-investment problems with transaction costs: Survey and open problems
• High-frequency trading in a limit order book
• Continuous Auctions and Insider Trading
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Portfolio Selection with Transaction Costs

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