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Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets.
Optimal dealer pricing under transactions and return uncertainty
T. Ho and H. Stoll · 1981
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The dynamics of dealer markets under competition
T. Ho and H. Stoll · 1983
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Liquidity and market structure
S. Grossman and M. Miller · 1988
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High-frequency trading in a limit order book
M. Avellaneda and S. Stoikov · 2008
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Functional analysis, Sobolev spaces and partial differential equations
H. Brezis · 2010
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High-frequency market-making with inventory constraints and directional bets
P. Fodra and M. Labadie · 2012
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Optimal portfolio liquidation with limit orders
O. Guéant, C.-A. Lehalle, and J. Fernandez-Tapia · 2012
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Optimal portfolio execution using market and limit orders
R. Huitema · 2012
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Algorithmic trading with model uncertainty
Á. Cartea, R. Donnelly, and S. Jaimungal · 2013
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Risk metrics and fine tuning of high frequency trading strategies
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Dealing with the inventory risk: a solution to the market making problem
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Optimal high-frequency trading with limit and market orders
F. Guilbaud and H. Pham · 2013
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High frequency trading and the new market makers
A. Menkveld · 2013
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Buy low, sell high: A high frequency trading perspective
Á. Cartea, S. Jaimungal, and J. Ricci · 2014
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Ambiguity aversion in algorithmic and high frequency trading
R. Donnelly · 2014
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Market making and portfolio liquidation under uncertainty
K. Nyström, S. M. Ould Aly, and C. Zhang · 2014
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Algorithmic and High-Frequency Trading
Á. Cartea, S. Jaimungal, and J. Penalva · 2015
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General intensity shapes in optimal liquidation
O. Guéant and C.-A. Lehalle · 2015
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The Financial Mathematics of Market Liquidity: from Optimal Execution to Market Making
O. Guéant · 2016
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Liquidation in limit order books with controlled intensity
E. Bayraktar and M. Ludkovski · 2014
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New closed-form approximations in multi-asset market making
D. Evangelista, O. Guéant D. Vieira · 2017
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