Market 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 argument
In this thesis three distinct trading scenarios are considered and stochastic optimal control models...
In this work we propose a simple market model where some features of the Specialist System are analy...
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoiko...
Market makers have to continuously set bid and ask quotes for the stocks they have under considerat...
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...
We focus on financial firms which offer simultaneous over-the-counter brokerage and dealer services ...
We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequ...
Our objective is to study liquidity risk, in particular the so-called "bid-ask spread", as a by-prod...
In dealer markets, dealers / market makers provide prices at which they agree to buy and sell the as...
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. ...
We model the behavior of three agent classes acting dynamically in a limit order book of a financial...
This paper proposes a dynamic model of bid and ask quotes that incorporates a stochastic cost of mar...
International audienceMarket makers provide liquidity to other market participants: they propose pri...
In this thesis three distinct trading scenarios are considered and stochastic optimal control models...
In this work we propose a simple market model where some features of the Specialist System are analy...
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoiko...
Market makers have to continuously set bid and ask quotes for the stocks they have under considerat...
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...
We focus on financial firms which offer simultaneous over-the-counter brokerage and dealer services ...
We extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequ...
Our objective is to study liquidity risk, in particular the so-called "bid-ask spread", as a by-prod...
In dealer markets, dealers / market makers provide prices at which they agree to buy and sell the as...
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. ...
We model the behavior of three agent classes acting dynamically in a limit order book of a financial...
This paper proposes a dynamic model of bid and ask quotes that incorporates a stochastic cost of mar...
International audienceMarket makers provide liquidity to other market participants: they propose pri...
In this thesis three distinct trading scenarios are considered and stochastic optimal control models...
In this work we propose a simple market model where some features of the Specialist System are analy...
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoiko...