Market making with inventory control and order book information

DOI10.1080/14697688.2022.2028888zbMath1490.91196OpenAlexW4211129123MaRDI QIDQ5072917

Flavio Bazzana, E. Donatoni, Sandra Paterlini

Publication date: 5 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2028888

zbMATH Keywords

high-frequency tradingalgorithmic tradinginitial public offeringsfintechunderwriter

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Dealing with the inventory risk: a solution to the market making problem
• Option market making under inventory risk
• High-frequency trading in a limit order book
• Continuous Auctions and Insider Trading
• Algorithmic market making for options
• Simulating and Analyzing Order Book Data: The Queue-Reactive Model

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