Dealing with the inventory risk: A solution to the market making problem

Mathematics and Financial Economics

Volumn 7, Issue 4, 2013, Pages 477-507

  Guéant, Olivier ^a   Lehalle, Charles Albert ^b   Fernandez Tapia, Joaquin ^c  

^a UNIVERSITÉ PIERRE ET MARIE CURIE   (France)

^b Head of Quantitative Research   (France)

^c SORBONNE UNIVERSITÉ   (France)

Author keywords

Avellaneda Stoikov problem; High frequency market making; Stochastic optimal control

Indexed keywords

EID: 84881055106     PISSN: 18629679     EISSN: 18629660     Source Type: Journal    
DOI: 10.1007/s11579-012-0087-0     Document Type: Article

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