A data-driven deep learning approach for options market making

DOI10.1080/14697688.2023.2186257zbMATH Open1519.91263OpenAlexW4324395628MaRDI QIDQ6158439FDOQ6158439

Authors: Xuefeng Gao, Lingfei Li 

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2186257

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zbMATH Keywords

deep learningoptionsHawkes processmarket makingalgorithmic trading

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Artificial neural networks and deep learning (68T07)

Cites Work

• Modelling security market events in continuous time: intensity based, multivariate point process models
• More statistical properties of order books and price impact
• High-frequency trading in a limit order book
• Hawkes model for price and trades high-frequency dynamics
• Backward stochastic differential equations and optimal control of marked point processes
• Buy Low, Sell High: A High Frequency Trading Perspective
• Incorporating order-flow into optimal execution
• Dealing with the inventory risk: a solution to the market making problem
• Algorithmic trading with model uncertainty
• Risk metrics and fine tuning of high-frequency trading strategies
• Optimal high-frequency trading with limit and market orders
• Option market making under inventory risk
• Equal risk pricing of derivatives with deep hedging
• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
• Deep empirical risk minimization in finance: Looking into the future
• Deep hedging
• High Frequency Trading and Asymptotics for Small Risk Aversion in a Markov Renewal Model
• Algorithmic trading in a microstructural limit order book model
• Enhancing trading strategies with order book signals
• Optimal market-making strategies under synchronised order arrivals with deep neural networks
• Transform analysis for Hawkes processes with applications in dark pool trading
• Optimal high-frequency trading in a pro rata microstructure with predictive information
• Algorithmic trading, stochastic control, and mutually exciting processes
• Algorithmic market making for options
• Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
• Size matters for OTC market makers: General results and dimensionality reduction techniques

Cited In (5)

• Data-driven hedging of stock index options via deep learning
• Deep learning for market by order data
• Predictive market making via machine learning
• Deep learning for enhanced index tracking
• Optimal market-making strategies under synchronised order arrivals with deep neural networks

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