Algorithmic market making in dealer markets with hedging and market impact
Author:
Affiliation:
1. HSBC, 8 Canada Square London UK
2. Ecole Polytechnique CMAP Palaiseau France
3. Université Paris 1 Panthéon‐Sorbonne Centre d'Economie de la Sorbonne, Paris France
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12367
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5. Direct estimation of equity market impact;Almgren R.;Risk,2005
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