Algorithmic market making in dealer markets with hedging and market impact
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Cited by:
- Kubo, Kenji & Nakagawa, Kei & Mizukami, Daiki & Acharya, Dipesh, 2023. "Optimal liquidation strategy for cryptocurrency marketplaces using stochastic control," Finance Research Letters, Elsevier, vol. 53(C).
- 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.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2021-06-28 (Financial Markets)
- NEP-MST-2021-06-28 (Market Microstructure)
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