Optimal Market Making under Partial Information with General Intensities

DOI10.1080/1350486X.2020.1758587zbMath1452.91295arXiv1902.01157MaRDI QIDQ5126677

Diego Zabaljauregui, Luciano Campi

Publication date: 20 October 2020

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

Full work available at URL: https://arxiv.org/abs/1902.01157

zbMATH Keywords

stochastic optimal controlhidden Markov modelviscosity solutionshigh-frequency tradingstochastic filteringmarket makingalgorithmic tradingpiecewise-deterministic Markov processes

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20) Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial markets (91G15)

Related Items (2)

Closed-form Approximations in Multi-asset Market Making ⋮ Computational Methods for Market Making Algorithms

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