Size matters for OTC market makers: General results and dimensionality reduction techniques-Reference-Cited by-同舟云学术

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Size matters for OTC market makers: General results and dimensionality reduction techniques

Published:2020-08-23 Issue:1 Volume:31 Page:279-322
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Bergault Philippe¹,Guéant Olivier¹^ORCID

Affiliation:

1. Université Paris 1 Panthéon‐Sorbonne Centre d'Economie de la Sorbonne 106 Boulevard de l'Hôpital, 75642 Paris Cedex 13 France

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12286

Reference17 articles.

1. High-frequency trading in a limit order book

2. Algorithmic market making for options

3. Processus ponctuels et martingales: résultats récents sur la modélisation et le filtrage

4. Algorithmic Trading with Model Uncertainty

Cited by 14 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost;SIAM Journal on Financial Mathematics;2024-07-31

2. Optimal Incentives in a Limit Order Book: A SPDE Control Approach;Market Microstructure and Liquidity;2024-01-13

3. Competition and learning in dealer markets;SSRN Electronic Journal;2024

4. Decentralised Finance and Automated Market Making;2024

5. Automated market makers: mean-variance analysis of LPs payoffs and design of pricing functions;Digital Finance;2023-12-27

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