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Inventory management in customised liquidity pools - MaRDI portal

Inventory management in customised liquidity pools (Q5193376)

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scientific article; zbMATH DE number 7103162
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English
Inventory management in customised liquidity pools
scientific article; zbMATH DE number 7103162

    Statements

    title
    Inventory management in customised liquidity pools (English)
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    author
    M. Alessandra Crisafi
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    Andrea Macrina
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    publication date
    10 September 2019
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    zbMATH Keywords
    electronic trading
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    market making
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    inventory risk
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    impulse-control problem
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    quasi variational inequality
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    viscosity solutions
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    90B05
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    93E20
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    zbMATH DE Number
    7103162
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    OpenAlex ID
    W3126042823
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