Price estimation via Bayesian filtering and optimal bid-ask prices for market makers

DOI10.4134/jkms.j230053MaRDI QIDQ6654972

Junsu Park, Hyungbin Park

Publication date: 20 December 2024

Published in: Journal of the Korean Mathematical Society (Search for Journal in Brave)

zbMATH Keywords

particle filtermarket makingBayesian filter

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Portfolio theory (91G10) Financial markets (91G15)

Cites Work

• Dealing with the inventory risk: a solution to the market making problem
• Optimal Market Making in the Foreign Exchange Market
• A Theory of the Term Structure of Interest Rates
• High-frequency trading in a limit order book
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Optimal market making
• Optimal Market-Making with Risk Aversion
• Adaptive Rejection Sampling for Gibbs Sampling
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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