Closed-form Approximations in Multi-asset Market Making

DOI10.1080/1350486X.2021.1949359zbMath1484.91513arXiv1810.04383OpenAlexW2896192509WikidataQ114099060 ScholiaQ114099060MaRDI QIDQ5063386

Olivier Guéant, David Evangelista, Philippe Bergault, Douglas Alexandre Gomes Vieira

Publication date: 21 March 2022

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.04383

zbMATH Keywords

stochastic optimal controlMonte Carlo methodsmarket makingalgorithmic tradingclosed-form approximations

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Financial markets (91G15)

Related Items (5)

How to build a cross-impact model from first principles: theoretical requirements and empirical results ⋮ Algorithmic market making in dealer markets with hedging and market impact ⋮ A Mean-Field Game of Market-Making against Strategic Traders ⋮ Computational Methods for Market Making Algorithms ⋮ Optimal market making

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