Optimal market making in the presence of latency

DOI10.1080/14697688.2020.1741670zbMath1454.91247arXiv1806.05849OpenAlexW3010679534MaRDI QIDQ5139247

Xuefeng Gao, Yunhan Wang

Publication date: 7 December 2020

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

Full work available at URL: https://arxiv.org/abs/1806.05849

zbMATH Keywords

Markov decision processmarket makinglimit order booklarge-tick assetsorder value

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40) Financial markets (91G15)

Related Items (2)

Optimal execution with stochastic delay ⋮ Order scoring, bandit learning and order cancellations

Cites Work

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