Search Results for author:
Found 14 papers, 0 papers with code
Algorithmic Market Making in Spot Precious Metals
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts.
Dispensing with optimal control: a new approach for the pricing and management of share buyback contracts
This paper introduces a novel methodology for the pricing and management of share buyback contracts, overcoming the limitations of traditional optimal control methods, which frequently encounter difficulties with high-dimensional state spaces and the intricacies of selecting appropriate risk penalty or risk aversion parameter.
A Mean Field Game between Informed Traders and a Broker
In the finite player game, the informed traders observe a common signal and a private signal.
Modeling liquidity in corporate bond markets: applications to price adjustments
But how to proceed when the securities are illiquid?
Automated Market Makers: Mean-Variance Analysis of LPs Payoffs and Design of Pricing Functions
In particular, the concept of impermanent loss has emerged and explains part of the profit and loss of liquidity providers in Constant Function Market Makers.
Dealing with multi-currency inventory risk in FX cash markets
To mitigate this risk, they typically skew their prices to attract or divert the flow and trade with their peers on the dealer-to-dealer segment of the market for hedging purposes.
A mean-field game of market-making against strategic traders
We design a market-making model \`a la Avellaneda-Stoikov in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous trading signal.
Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk.
Algorithmic market making in dealer markets with hedging and market impact
The larger the franchise, the wider is the inventory range suitable for pure internalization.
Multi-asset optimal execution and statistical arbitrage strategies under Ornstein-Uhlenbeck dynamics
In recent years, academics, regulators, and market practitioners have increasingly addressed liquidity issues.
On bid and ask side-specific tick sizes
The tick size, which is the smallest increment between two consecutive prices for a given asset, is a key parameter of market microstructure.
Algorithmic market making for options
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset.
Size matters for OTC market makers: general results and dimensionality reduction techniques
In most OTC markets, a small number of market makers provide liquidity to other market participants.
Closed-form approximations in multi-asset market making
A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov.
