Market making with alpha signals

DOI10.1142/S0219024920500168MaRDI QIDQ3304201zbMATHOpenAlexFDO

Authors Álvaro Cartea, Yixuan Wang

Publication date 5 August 2020

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024920500168

zbMATH Keywords

high-frequency tradingadverse selectionmarket makingorder flowmomentum tradingalpha signallatent alpha

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• Market making with inventory control and order book information
• Optimal market making
• Buy Low, Sell High: A High Frequency Trading Perspective
• Market making with asymmetric information and inventory risk
• Optimal market making with persistent order flow

Cites work

• scientific article; zbMATH DE number 4205918 (Why is no real title available?)
• Algorithmic and high-frequency trading
• Algorithmic trading with model uncertainty
• Algorithmic trading, stochastic control, and mutually exciting processes
• Applied stochastic control of jump diffusions
• Buy Low, Sell High: A High Frequency Trading Perspective
• Dealing with the inventory risk: a solution to the market making problem
• Enhancing trading strategies with order book signals
• High-frequency trading in a limit order book
• Incorporating order-flow into optimal execution
• Risk metrics and fine tuning of high-frequency trading strategies
• The financial mathematics of market liquidity. From optimal execution to market making

Cited in

(3)

• Decentralized finance and automated market making: predictable loss and optimal liquidity provision
• Predictive market making via machine learning
• Market making with inventory control and order book information

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