High-frequency market-making with inventory constraints and directional bets
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References listed on IDEAS
- Marco Avellaneda & Sasha Stoikov, 2008. "High-frequency trading in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 217-224.
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Citations
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Cited by:
- Campi, Luciano & Zabaljauregui, Diego, 2020. "Optimal market making under partial information with general intensities," LSE Research Online Documents on Economics 104612, London School of Economics and Political Science, LSE Library.
- Pietro Fodra & Huy^en Pham, 2013. "High frequency trading and asymptotics for small risk aversion in a Markov renewal model," Papers 1310.1756, arXiv.org, revised Jan 2015.
- Qing-Qing Yang & Wai-Ki Ching & Jiawen Gu & Tak-Kuen Siu, 2020.
"Trading strategy with stochastic volatility in a limit order book market,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 277-301, June.
- Wai-Ki Ching & Jia-Wen Gu & Tak-Kuen Siu & Qing-Qing Yang, 2016. "Trading Strategy with Stochastic Volatility in a Limit Order Book Market," Papers 1602.00358, arXiv.org.
- Thomas Spooner & Rahul Savani, 2020. "Robust Market Making via Adversarial Reinforcement Learning," Papers 2003.01820, arXiv.org, revised Jul 2020.
- Sofiene El Aoud & Frédéric Abergel, 2015. "A stochastic control approach for options market making," Post-Print hal-01061852, HAL.
- Pietro Fodra & Huyen Pham, 2013. "High frequency trading in a Markov renewal model," Working Papers hal-00867113, HAL.
- L. Ingber, 2020. "Forecasting with importance-sampling and path-integrals: Applications to COVID-19," Lester Ingber Papers 20fi, Lester Ingber.
- Lester Ingber, 2020.
"Developing Bid-Ask Probabilities for High-Frequency Trading,"
Virtual Economics, The London Academy of Science and Business, vol. 3(2), pages 7-24, April.
- L. Ingber, 2020. "Developing bid-ask probabilities for high-frequency trading," Lester Ingber Papers 19db, Lester Ingber.
- Olivier Gu'eant, 2016. "Optimal market making," Papers 1605.01862, arXiv.org, revised May 2017.
- Burcu Aydoğan & Ömür Uğur & Ümit Aksoy, 2023. "Optimal Limit Order Book Trading Strategies with Stochastic Volatility in the Underlying Asset," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 289-324, June.
- Philippe Bergault & David Evangelista & Olivier Gu'eant & Douglas Vieira, 2018. "Closed-form approximations in multi-asset market making," Papers 1810.04383, arXiv.org, revised Sep 2022.
- Baron Law & Frederi Viens, 2019. "Market Making under a Weakly Consistent Limit Order Book Model," Papers 1903.07222, arXiv.org, revised Jan 2020.
- Saran Ahuja & George Papanicolaou & Weiluo Ren & Tzu-Wei Yang, 2016. "Limit order trading with a mean reverting reference price," Papers 1607.00454, arXiv.org, revised Nov 2016.
- Diego Zabaljauregui, 2020. "Optimal market making under partial information and numerical methods for impulse control games with applications," Papers 2009.06521, arXiv.org.
- Diego Zabaljauregui & Luciano Campi, 2019. "Optimal market making under partial information with general intensities," Papers 1902.01157, arXiv.org, revised Apr 2020.
- Pietro Fodra & Mauricio Labadie, 2013. "High-frequency market-making for multi-dimensional Markov processes," Papers 1303.7177, arXiv.org, revised Apr 2013.
- 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.
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More about this item
Keywords
Quantitative Finance; high-frequency trading; market-making; limit-order book; inventory risk; optimisation; stochastic control; Hamilton-Jacobi-Bellman; PnL distribution;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2012-03-08 (Market Microstructure)
- NEP-UPT-2012-03-08 (Utility Models and Prospect Theory)
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