Computational Methods for Market Making Algorithms

DOI10.1007/978-3-031-11818-0_66OpenAlexW4312650952MaRDI QIDQ6096556

Olivier Guéant

Publication date: 15 September 2023

Published in: Mathematics in Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-031-11818-0_66

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites Work

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• Optimal Market Making with Persistent Order Flow
• Deep Reinforcement Learning for Market Making in Corporate Bonds: Beating the Curse of Dimensionality
• GENERAL INTENSITY SHAPES IN OPTIMAL LIQUIDATION
• Size matters for OTC market makers: General results and dimensionality reduction techniques

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