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

DOI10.4134/JKMS.J230053MaRDI QIDQ6654972zbMATH OpenFDO

Authors Hyungbin Park, Junsu Park

Publication date 20 December 2024

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

zbMATH Keywords

particle filtermarket makingBayesian filter

Mathematics Subject Classification ID

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

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Cites work

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

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