Algorithmic market making in dealer markets with hedging and market impact

DOI10.1111/mafi.12367zbMath1522.91237arXiv2106.06974OpenAlexW4309357964MaRDI QIDQ6054445

Unnamed Author, Philippe Bergault, Olivier Guéant

Publication date: 28 September 2023

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

Full work available at URL: https://arxiv.org/abs/2106.06974

zbMATH Keywords

stochastic optimal controlviscosity solutionsmarket makingalgorithmic tradingdealer markets

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15)

Related Items (3)

A Mean-Field Game of Market-Making against Strategic Traders ⋮ Towards multi‐agent reinforcement learning‐driven over‐the‐counter market simulations ⋮ Dynamics of market making algorithms in dealer markets: Learning and tacit collusion

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