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Computational methods for market making algorithms

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  • Olivier Guéant

    (UP1 - Université Paris 1 Panthéon-Sorbonne)

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  • Olivier Guéant, 2022. "Computational methods for market making algorithms," Post-Print hal-04590381, HAL.
    • Handle: RePEc:hal:journl:hal-04590381
    DOI: 10.1007/978-3-031-11818-0_66
    Note: View the original document on HAL open archive server: https://hal.science/hal-04590381
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    References listed on IDEAS

    as
    1. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
    2. 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.
    3. 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.
    4. Alexander Barzykin & Philippe Bergault & Olivier Guéant, 2022. "Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control," Working Papers hal-03857971, HAL.
    5. Ho, Thomas & Stoll, Hans R, 1980. "On Dealer Markets under Competition," Journal of Finance, American Finance Association, vol. 35(2), pages 259-267, May.
    6. Marco Avellaneda & Sasha Stoikov, 2008. "High-frequency trading in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 217-224.
    7. Olivier Guéant & Iuliia Manziuk, 2019. "Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality," Applied Mathematical Finance, Taylor & Francis Journals, vol. 26(5), pages 387-452, September.
    8. Ho, Thomas & Stoll, Hans R., 1981. "Optimal dealer pricing under transactions and return uncertainty," Journal of Financial Economics, Elsevier, vol. 9(1), pages 47-73, March.
    9. Olivier Gu'eant & Iuliia Manziuk, 2019. "Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality," Papers 1910.13205, arXiv.org.
    10. Olivier Guéant & Charles-Albert Lehalle, 2015. "General Intensity Shapes In Optimal Liquidation," Mathematical Finance, Wiley Blackwell, vol. 25(3), pages 457-495, July.
    11. Paul Jusselin, 2020. "Optimal market making with persistent order flow," Papers 2003.05958, arXiv.org, revised Oct 2020.
    Full references (including those not matched with items on IDEAS)

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