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Closed-form Approximations in Multi-asset Market Making - MaRDI portal

Closed-form Approximations in Multi-asset Market Making (Q5063386)

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scientific article; zbMATH DE number 7494017
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English
Closed-form Approximations in Multi-asset Market Making
scientific article; zbMATH DE number 7494017

    Statements

    title
    Closed-form Approximations in Multi-asset Market Making (English)
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    author
    Philippe Bergault
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    David Evangelista
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    Olivier Guéant
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    publication date
    21 March 2022
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    zbMATH Keywords
    algorithmic trading
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    market making
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    stochastic optimal control
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    closed-form approximations
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    Monte Carlo methods
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    cites work
    Q5263525
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    Q2787919
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    Optimal market making
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    Q4626283
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G15
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    93E20
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    zbMATH DE Number
    7494017
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    Wikidata QID
    Q114099060
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    arXiv ID
    1810.04383
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    OpenAlex ID
    W2896192509
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