Market-making strategy with asymmetric information and regime-switching

DOI10.1016/j.jedc.2018.04.003zbMath1401.91600OpenAlexW2797486457WikidataQ129982950 ScholiaQ129982950MaRDI QIDQ1657343

Qing-Qing Yang, Wai-Ki Ching, Jia-Wen Gu, Tak Kuen Siu

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2018.04.003

zbMATH Keywords

regime shiftsasymmetric informationinformation delayoptimal market-marking strategiestriggering events

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Structural Clustering of Volatility Regimes for Dynamic Trading Strategies ⋮ Generalized optimal liquidation problems across multiple trading venues ⋮ Optimal execution with regime-switching market resilience

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