Add to ORKGMarket makers have to continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency they indeed provide liquidity, is challenged by the price risk they bear due to their inventory. In this paper, we provide optimal bid and ask quotes and closed-form approximations are derived using spectral arguments.ou
This analysis models discrete quotes as arising from two continuous random variables, the efficient ...
We consider a firm facing random demand at the end of a single period of random length. At any time ...
We consider an optimal selection problem for bid and ask quotes subject to a value-at-Risk (VaR) con...
Market makers have to continuously set bid and ask quotes for the stocks they have under considerati...
Market makers have to continuously set bid and ask quotes for the stocks they have under considerati...
We propose a mean-variance framework to analyze the optimal quoting policy of an option market maker...
International audienceMarket makers continuously set bid and ask quotes for the stocks they have und...
An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is inves...
Market makers provide liquidity to other market participants: they propose prices at which they stan...
Algorithmic traders acknowledge that their models are incorrectly specified, thus we allow for ambig...
Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replen-ishm...
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoiko...
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. ...
We consider “customised liquidity pools” (CLP), which are trading venues that offer over-the-counter...
Abstract: This paper advocates a regime-switching model to capture the risk of structural changes in...
This analysis models discrete quotes as arising from two continuous random variables, the efficient ...
We consider a firm facing random demand at the end of a single period of random length. At any time ...
We consider an optimal selection problem for bid and ask quotes subject to a value-at-Risk (VaR) con...
Market makers have to continuously set bid and ask quotes for the stocks they have under considerati...
Market makers have to continuously set bid and ask quotes for the stocks they have under considerati...
We propose a mean-variance framework to analyze the optimal quoting policy of an option market maker...
International audienceMarket makers continuously set bid and ask quotes for the stocks they have und...
An optimal selection problem for bid and ask quotes subject to a stock inventory constraint is inves...
Market makers provide liquidity to other market participants: they propose prices at which they stan...
Algorithmic traders acknowledge that their models are incorrectly specified, thus we allow for ambig...
Traditional inventory models focus on risk-neutral decision makers, i.e., characterizing replen-ishm...
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoiko...
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. ...
We consider “customised liquidity pools” (CLP), which are trading venues that offer over-the-counter...
Abstract: This paper advocates a regime-switching model to capture the risk of structural changes in...
This analysis models discrete quotes as arising from two continuous random variables, the efficient ...
We consider a firm facing random demand at the end of a single period of random length. At any time ...
We consider an optimal selection problem for bid and ask quotes subject to a value-at-Risk (VaR) con...