Inventory management in customised liquidity pools

DOI10.1080/23311835.2017.1281594zbMath1427.91253OpenAlexW3126042823MaRDI QIDQ5193376

M. Alessandra Crisafi, Andrea Macrina

Publication date: 10 September 2019

Published in: Cogent Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/23311835.2017.1281594

zbMATH Keywords

viscosity solutionsmarket makingquasi variational inequalityelectronic tradingimpulse-control probleminventory risk

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
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• High-frequency trading in a limit order book
• User’s guide to viscosity solutions of second order partial differential equations
• OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Optimal high-frequency trading with limit and market orders

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