Optimal inventory management and order book modeling *

Optimal inventory management and order book modeling *

We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-...

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Bibliographic Details
Main Authors: Baradel Nicolas, Bouchard Bruno, Evangelista David, Mounjid Othmane
Format: Article
Language:English
Published: EDP Sciences 2019-01-01
Series:ESAIM: Proceedings and Surveys
Subjects:
optimal trading
market impact
optimal control
Online Access:https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196507.pdf

Internet

https://www.esaim-proc.org/articles/proc/pdf/2019/01/proc196507.pdf

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