Optimal Market Making in the Chinese Stock Market: A Stochastic Control and Scenario Analysis
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- Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011.
"Dealing with the Inventory Risk. A solution to the market making problem,"
Papers
1105.3115, arXiv.org, revised Aug 2012.
- Olivier Guéant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2013. "Dealing with the Inventory Risk. A solution to the market making problem," Post-Print hal-01393110, HAL.
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- Fabien Guilbaud & Huyên Pham, 2013. "Optimal high-frequency trading with limit and market orders," Quantitative Finance, Taylor & Francis Journals, vol. 13(1), pages 79-94, January.
- Marco Avellaneda & Sasha Stoikov, 2008. "High-frequency trading in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 217-224.
- Bessler, Wolfgang & Vendrasco, Marco, 2021. "The 2020 European short-selling ban and the effects on market quality," Finance Research Letters, Elsevier, vol. 42(C).
- Liu, Wei, 2021. "Can HFT profit in Chinese stock market?," Economics Letters, Elsevier, vol. 209(C).
- Li, Wei & Wang, Steven Shuye, 2010. "Daily institutional trades and stock price volatility in a retail investor dominated emerging market," Journal of Financial Markets, Elsevier, vol. 13(4), pages 448-474, November.
- Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-MFD-2023-07-10 (Microfinance)
- NEP-MST-2023-07-10 (Market Microstructure)
- NEP-UPT-2023-07-10 (Utility Models and Prospect Theory)
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