Size matters for OTC market makers: general results and dimensionality reduction techniques
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- Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 279-322, January.
- Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Post-Print hal-03252557, HAL.
- Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Post-Print hal-03885108, HAL.
- Philippe Bergault & Olivier Guéant, 2020. "Size matters for OTC market makers: general results and dimensionality reduction techniques," Working Papers hal-02987894, HAL.
- Philippe Bergault & Olivier Guéant, 2021. "Size matters for OTC market makers: General results and dimensionality reduction techniques," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03252557, HAL.
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- Olivier Guéant & Charles-Albert Lehalle, 2015.
"General Intensity Shapes In Optimal Liquidation,"
Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
- Olivier Gu'eant & Charles-Albert Lehalle, 2012. "General Intensity Shapes in Optimal Liquidation," Papers 1204.0148, arXiv.org, revised Jun 2013.
- Fabien Guilbaud & Huyên Pham, 2015. "Optimal High-Frequency Trading In A Pro Rata Microstructure With Predictive Information," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 545-575, July.
- Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
Citations
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Cited by:
- Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Algorithmic market making in dealer markets with hedging and market impact," Papers 2106.06974, arXiv.org, revised Dec 2022.
- Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant & Julien Guilbert, 2024. "Price-Aware Automated Market Makers: Models Beyond Brownian Prices and Static Liquidity," Papers 2405.03496, arXiv.org, revised May 2024.
- Bastien Baldacci & Philippe Bergault & Dylan Possamai, 2022. "A mean-field game of market-making against strategic traders," Papers 2203.13053, arXiv.org.
- Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2023.
"Algorithmic market making in dealer markets with hedging and market impact,"
Mathematical Finance, Wiley Blackwell, vol. 33(1), pages 41-79, January.
- Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Post-Print hal-03885137, HAL.
- Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Working Papers hal-03857976, HAL.
- Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Algorithmic market making in dealer markets with hedging and market impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03857976, HAL.
- Philippe Bergault & Louis Bertucci & David Bouba & Olivier Gu'eant, 2022. "Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions," Papers 2212.00336, arXiv.org, revised Nov 2023.
- Jonathan Ch'avez-Casillas & Jos'e E. Figueroa-L'opez & Chuyi Yu & Yi Zhang, 2024. "Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos," Papers 2405.11444, arXiv.org.
- Philippe Bergault & Olivier Gu'eant, 2023. "Liquidity Dynamics in RFQ Markets and Impact on Pricing," Papers 2309.04216, arXiv.org, revised Jun 2024.
- Marcello Monga, 2024. "Automated Market Making and Decentralized Finance," Papers 2407.16885, arXiv.org.
- Mathieu Rosenbaum & Jianfei Zhang, 2022. "Multi-asset market making under the quadratic rough Heston," Papers 2212.10164, arXiv.org.
- Bastien Baldacci & Philippe Bergault, 2021. "Optimal incentives in a limit order book: a SPDE control approach," Papers 2112.00375, arXiv.org, revised Oct 2022.
- Zhou Fang & Haiqing Xu, 2023. "Over-the-Counter Market Making via Reinforcement Learning," Papers 2307.01816, arXiv.org.
- Alexander Barzykin & Philippe Bergault & Olivier Gu'eant, 2021. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Papers 2112.02269, arXiv.org, revised Jun 2023.
- Olivier Guéant, 2022. "Computational methods for market making algorithms," Post-Print hal-04590381, HAL.
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More about this item
Keywords
Market making; Stochastic optimal control; Curse of dimensionality; Integro-dierential equations; Risk factor models;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2020-11-23 (Operations Research)
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