Optimal market-making strategies under synchronised order arrivals with deep neural networks

DOI10.1016/j.jedc.2021.104098zbMath1475.91339OpenAlexW3130765926MaRDI QIDQ2246653

Kyungsub Lee, Hyun Jin Jang, So Eun Choi, Harry Zheng

Publication date: 16 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2021.104098

zbMATH Keywords

synchronyoptimal strategydeep neural networkhigh-dimensional Hamilton-Jacobi-Bellmanorder arrival models

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Financial markets (91G15)

Related Items (2)

Does the bid-ask spread affect trading in exchange operated dark pools? Evidence from a natural experiment ⋮ A data-driven deep learning approach for options market making

Uses Software

• Maxlik
• maxLik
• Adam
• Boids
• DGM

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