Metadata only
Date
2023-12Type
- Journal Article
ETH Bibliography
yes
Altmetrics
Abstract
We design a market-making model à la Avellaneda and Stoikov [Quant. Finance, 8 (2008), pp. 217–224] in which the market-takers act strategically, in the sense that they design their trading strategy based on an exogenous trading signal. The market-maker chooses her quotes based on the average market-takers’ behavior, modelled through a mean-field interaction. We derive, up to the resolution of a coupled HJB-Fokker–Planck system, the optimal controls of the market-maker and the representative market-taker. This approach is flexible enough to incorporate different behaviors for the market-takers and takes into account the impact of their strategies on the price process. Show more
Publication status
publishedExternal links
Journal / series
SIAM Journal on Financial MathematicsVolume
Pages / Article No.
Publisher
SIAMSubject
market-making; algorithmic trading; mean-field gamesOrganisational unit
09728 - Possamaï, Dylan / Possamaï, Dylan
More
Show all metadata
ETH Bibliography
yes
Altmetrics