Unwinding Toxic Flow with Partial Information
By Alexander Barzykin, Robert Boyce, Eyal Neuman
Rating
1716
Battle Count: 161
Relevance
9/10
Highly relevant for market makers, central risk books, and institutional traders dealing with potentially toxic order flow
Implementation Complexity
8/10
Requires advanced mathematical knowledge and numerical methods for implementation
Reproducibility
4/5
Detailed mathematical derivations and proofs are provided, along with numerical simulations and empirical analysis
About this paper
Methodology: Partially Observable Stochastic Control. Problem types: Optimal Execution, Market Making, Risk Management.
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