Dealing with the inventory risk: a solution to the market making problem
From MaRDI portal
Publication:367376
DOI10.1007/s11579-012-0087-0zbMath1273.91462arXiv1105.3115OpenAlexW2120949767MaRDI QIDQ367376
Olivier Guéant, Charles-Albert Lehalle, Joaquin Fernandez-Tapia
Publication date: 13 September 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.3115
Related Items (43)
Incorporating order-flow into optimal execution ⋮ Closed-form Approximations in Multi-asset Market Making ⋮ MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY ⋮ Optimal posting price of limit orders: learning by trading ⋮ Market making with inventory control and order book information ⋮ TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE ⋮ Optimal market dealing under constraints ⋮ Optimal Liquidity-Based Trading Tactics ⋮ High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model ⋮ Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes ⋮ Size matters for OTC market makers: General results and dimensionality reduction techniques ⋮ Algorithmic market making in dealer markets with hedging and market impact ⋮ SIMULTANEOUS TRADING IN ‘LIT’ AND DARK POOLS ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ On Bid and Ask Side-Specific Tick Sizes ⋮ Computational Methods for Market Making Algorithms ⋮ Recent advances in reinforcement learning in finance ⋮ High frequency market making: the role of speed ⋮ A data-driven deep learning approach for options market making ⋮ Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations ⋮ Dynamics of market making algorithms in dealer markets: Learning and tacit collusion ⋮ Optimal market making ⋮ Optimal Market Making under Partial Information with General Intensities ⋮ Algorithmic trading in a microstructural limit order book model ⋮ Optimal market making in the presence of latency ⋮ MARKET MAKING WITH ALPHA SIGNALS ⋮ Optimal market-making strategies under synchronised order arrivals with deep neural networks ⋮ Optimal Market Making with Persistent Order Flow ⋮ Optimal high-frequency trading with limit and market orders ⋮ Inventory management in customised liquidity pools ⋮ OPTIMAL EXECUTION COST FOR LIQUIDATION THROUGH A LIMIT ORDER MARKET ⋮ Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality ⋮ ALGORITHMIC TRADING WITH LEARNING ⋮ Dynamic equilibrium of market making with price competition ⋮ Optimal Make-Take Fees in a Multi Market-Maker Environment ⋮ Trading strategy with stochastic volatility in a limit order book market ⋮ Real-time market microstructure analysis: online transaction cost analysis ⋮ Algorithmic market making for options ⋮ GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION ⋮ OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION ⋮ RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES ⋮ Optimal liquidity provision ⋮ Optimal Execution: A Review
Cites Work
This page was built for publication: Dealing with the inventory risk: a solution to the market making problem
