High-frequency market-making with inventory constraints and directional bets
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References listed on IDEAS
- Ho, Thomas & Stoll, Hans R., 1981.
"Optimal dealer pricing under transactions and return uncertainty,"
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Elsevier, vol. 9(1), pages 47-73, March.
- Thomas Ho & Hans Stoll, "undated". "Optimal Dealer Pricing Under Transactions and Return Uncertainty," Rodney L. White Center for Financial Research Working Papers 27-79, Wharton School Rodney L. White Center for Financial Research.
- Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
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- Marc Hoffmann & Mauricio Labadie & Charles-Albert Lehalle & Gilles Pagès & Huyên Pham & Mathieu Rosenbaum, 2013. "Optimization And Statistical Methods For High Frequency Finance," Post-Print hal-01102785, HAL.
- Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
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KeywordsQuantitative Finance; high-frequency trading; market-making; limit-order book; inventory risk; optimisation; stochastic control; Hamilton-Jacobi-Bellman; PnL distribution;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-08 (All new papers)
- NEP-MST-2012-03-08 (Market Microstructure)
- NEP-UPT-2012-03-08 (Utility Models & Prospect Theory)
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