Price estimation via Bayesian filtering and optimal bid-ask prices for market makers

DOI10.4134/JKMS.J230053MaRDI QIDQ6654972FDOQ6654972

Authors: Hyungbin Park, Junsu Park 

Publication date: 20 December 2024

Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)

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zbMATH Keywords

particle filtermarket makingBayesian filter

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15) Stochastic models in economics (91B70)

Cites Work

• A theory of the term structure of interest rates
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Adaptive Rejection Sampling for Gibbs Sampling
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• High-frequency trading in a limit order book
• Dealing with the inventory risk: a solution to the market making problem
• Optimal market-making with risk aversion
• Optimal market making in the foreign exchange market
• Optimal market making

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