Optimal inventory management and order book modeling

DOI10.1051/proc/201965145zbMath1471.91524arXiv1802.08135OpenAlexW3121897637MaRDI QIDQ4967868

David Evangelista, Nicolas Baradel, Othmane Mounjid, Bruno Bouchard

Publication date: 11 July 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.08135

zbMATH Keywords

optimal controldynamic programmingoptimal tradingapproximate optimal controlsorder book dynamics

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial markets (91G15)

Related Items (3)

Closed-form Approximations in Multi-asset Market Making ⋮ Optimal Liquidity-Based Trading Tactics ⋮ Algorithmic trading in a microstructural limit order book model

Cites Work

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• Optimal Control Under Uncertainty and Bayesian Parameters Adjustments
• Optimal market making
• Statistical theory of the continuous double auction
• Optimal Liquidity-Based Trading Tactics
• Algorithmic trading in a microstructural limit order book model
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model
• Optimal high-frequency trading with limit and market orders

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