Adaptive Optimal Market Making Strategies with Inventory Liquidation Cost
By Jonathan Chávez-Casillas, José E. Figueroa-López, Chuyi Yu, Yi Zhang
Rating
1662
Battle Count: 106
Relevance
9/10
Highly relevant for high-frequency trading and market making. Provides a novel approach to adaptive market making strategies with inventory control.
Implementation Complexity
7/10
Requires advanced mathematical knowledge and programming skills. Implementation involves solving complex optimization problems and handling real-time market data.
Reproducibility
4/5
The paper provides detailed mathematical formulations and algorithms, as well as empirical analysis using real market data. However, the exact dataset is not publicly available.
About this paper
Methodology: Stochastic optimal control. Problem types: Market Making, Inventory Control, Optimal Execution.
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