Size matters for OTC market makers: general results and dimensionality reduction techniques
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References listed on IDEAS
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Papers
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- 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.
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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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