Optimal Market Making with Persistent Order Flow

DOI10.1137/20M1376054zbMath1476.91171arXiv2003.05958OpenAlexW3198770918MaRDI QIDQ5162846

Paul Jusselin

Publication date: 5 November 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.05958

zbMATH Keywords

stochastic controlpartial differential equationsviscosity solutionsHawkes processesmarket makinghigh frequency trading

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

Related Items (3)

Closed-form Approximations in Multi-asset Market Making ⋮ Computational Methods for Market Making Algorithms ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge

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