MARKET MAKING WITH ALPHA SIGNALS

DOI10.1142/S0219024920500168zbMath1447.91167OpenAlexW3125405994MaRDI QIDQ3304201

Yixuan Wang, Álvaro Cartea

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500168

zbMATH Keywords

adverse selectionhigh-frequency tradingmarket makingorder flowmomentum tradingalpha signallatent alpha

Mathematics Subject Classification ID

Financial markets (91G15)

Related Items (1)

Predictive market making via machine learning

Cites Work

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• Incorporating order-flow into optimal execution
• Dealing with the inventory risk: a solution to the market making problem
• Buy Low, Sell High: A High Frequency Trading Perspective
• High-frequency trading in a limit order book
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• Algorithmic Trading, Stochastic Control, and Mutually Exciting Processes
• Algorithmic Trading with Model Uncertainty
• RISK METRICS AND FINE TUNING OF HIGH‐FREQUENCY TRADING STRATEGIES
• Applied stochastic control of jump diffusions

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