Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost

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

Published 2024-05-21

Everscope rating

1737.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic optimal control. Problem types: Market Making, Inventory Control, Optimal Execution.

arXiv:2405.11444 · Paper rankings

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