Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost-Reference-Cited by-同舟云学术

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Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost

Published:2024-07-31 Issue:3 Volume:15 Page:653-699
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Chávez-Casillas Jonathan¹,Figueroa-López José E.²,Yu Chuyi³,Zhang Yi⁴

Affiliation:

1. Department of Mathematics and Applied Mathematical Sciences, University of Rhode Island, Kingston, RI 02881 USA.

2. Department of Statistics and Data Science, Washington University in St. Louis, St. Louis, MO 63130-4899 USA.

3. Quantitative Analytics, Barclays, New York, NY 10019 USA.

4. Department of Statistics, UIUC, Champaign, IL 61820 USA.

Funder

National Science Foundation

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference25 articles.

1. Intraday market making with overnight inventory costs

2. High-frequency trading in a limit order book

3. OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT

4. Markov Decision Processes with Applications to Finance

5. Optimal liquidation under stochastic liquidity

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