Size matters for OTC market makers: General results and dimensionality reduction techniques

DOI10.1111/mafi.12286zbMath1522.91238arXiv1907.01225OpenAlexW3081464393MaRDI QIDQ6054136

Philippe Bergault, Olivier Guéant

Publication date: 27 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.01225

zbMATH Keywords

integro-differential equationsstochastic optimal controlcurse of dimensionalitymarket makingrisk factor models

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Financial markets (91G15)

Related Items

Closed-form Approximations in Multi-asset Market Making, Algorithmic market making in dealer markets with hedging and market impact, A Mean-Field Game of Market-Making against Strategic Traders, Computational Methods for Market Making Algorithms, 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, Algorithmic market making for options

Cites Work

• Unnamed Item
• Unnamed Item
• Dealing with the inventory risk: a solution to the market making problem
• Option market making under inventory risk
• Buy Low, Sell High: A High Frequency Trading Perspective
• High-frequency trading in a limit order book
• Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage
• Algorithmic Trading with Model Uncertainty
• Optimal market making
• Algorithmic market making for options
• Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• OPTIMAL HIGH‐FREQUENCY TRADING IN A PRO RATA MICROSTRUCTURE WITH PREDICTIVE INFORMATION
• Optimal high-frequency trading with limit and market orders