Adaptive optimal market making strategies with inventory liquidation cost

DOI10.1137/23M1571058zbMATH Open1542.91371MaRDI QIDQ6585788

José E. Figueroa-López, Yi Zhang, Chuyi Yu, Jonathan A. Chávez-Casillas

Publication date: 12 August 2024

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

zbMATH Keywords

stochastic controlmarket makinglimit order book

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
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• Optimal high-frequency trading with limit and market orders
• Size matters for OTC market makers: General results and dimensionality reduction techniques
• Power laws in market microstructure

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