Market making with alpha signals

DOI10.1142/S0219024920500168zbMATH Open1447.91167OpenAlexW3125405994MaRDI QIDQ3304201FDOQ3304201

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

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zbMATH Keywords

high-frequency tradingadverse selectionmarket makingorder flowmomentum tradingalpha signallatent alpha

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Title not available (Why is that?)
• Applied stochastic control of jump diffusions
• High-frequency trading in a limit order book
• Buy Low, Sell High: A High Frequency Trading Perspective
• Incorporating order-flow into optimal execution
• Dealing with the inventory risk: a solution to the market making problem
• Algorithmic trading with model uncertainty
• Risk metrics and fine tuning of high-frequency trading strategies
• Algorithmic and high-frequency trading
• The financial mathematics of market liquidity. From optimal execution to market making
• Enhancing trading strategies with order book signals
• Algorithmic trading, stochastic control, and mutually exciting processes

Cited In (3)

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

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