Optimal market-making with risk aversion

DOI10.1287/OPRE.1120.1039MaRDI QIDQ4648252zbMATH OpenOpenAlexFDO

Authors Kan Huang, David Simchi-Levi, Miao Song

Publication date 8 November 2012

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.1120.1039

zbMATH Keywords

dynamic programminginventory controlmarket-makingoptimal policyrisk aversion

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Stochastic programming (90C15) Dynamic programming (90C39) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cited in

(17)

• Optimal market thickness
• Managing inventory with proportional transaction costs
• Optimal market dealing under constraints
• Optimal market making in the foreign exchange market
• Market making with asymmetric information and inventory risk
• High frequency trading and asymptotics for small risk aversion in a Markov renewal model
• Market making and portfolio liquidation under uncertainty
• Long horizons, high risk aversion, and endogenous spreads
• Innovative menu of contracts for coordinating a supply chain with multiple mean-variance retailers
• Dealing with the inventory risk: a solution to the market making problem
• Optimal market making
• INVENTORY HEDGING AND OPTION MARKET MAKING
• Optimal make-take fees in a multi market-maker environment
• Algorithmic market making for options
• Optimal market making with persistent order flow
• Optimizing a single-product production-inventory system under constant absolute risk aversion
• Price estimation via Bayesian filtering and optimal bid-ask prices for market makers

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