A data-driven deep learning approach for options market making

DOI10.1080/14697688.2023.2186257MaRDI QIDQ6158439zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• Algorithmic market making for options
• Algorithmic trading in a microstructural limit order book model
• Algorithmic trading with model uncertainty
• Algorithmic trading, stochastic control, and mutually exciting processes
• Backward stochastic differential equations and optimal control of marked point processes
• Buy Low, Sell High: A High Frequency Trading Perspective
• Dealing with the inventory risk: a solution to the market making problem
• Deep empirical risk minimization in finance: Looking into the future
• Deep hedging
• Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
• Enhancing trading strategies with order book signals
• Equal risk pricing of derivatives with deep hedging
• Estimation of slowly decreasing Hawkes kernels: application to high-frequency order book dynamics
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• Optimal high-frequency trading in a pro rata microstructure with predictive information
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• Optimal market-making strategies under synchronised order arrivals with deep neural networks
• Option market making under inventory risk
• Risk metrics and fine tuning of high-frequency trading strategies
• Size matters for OTC market makers: General results and dimensionality reduction techniques
• Transform analysis for Hawkes processes with applications in dark pool trading

Cited in

(5)

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

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