Fetching the paper…
Reading the bibliography…
In most OTC markets, a small number of market makers provide liquidity to other market participants.
Optimal dealer pricing under transactions and return uncertainty
Thomas Ho and Hans R Stoll · 1981
Earlier work this paper cites.
Liquidity and market structure
Sanford J Grossman and Merton H Miller · 1988
Earlier work this paper cites.
High-frequency trading in a limit order book
Marco Avellaneda and Sasha Stoikov · 2008
Earlier work this paper cites.
Option market making under inventory risk
Sasha Stoikov and Mehmet Sağlam · 2009
Earlier work this paper cites.
Dealing with the inventory risk: a solution to the market making problem
Olivier Guéant, Charles-Albert Lehalle, and Joaquin Fernandez-Tapia · 2013
Earlier work this paper cites.
Optimal high-frequency trading with limit and market orders
Fabien Guilbaud and Huyen Pham · 2013
Earlier work this paper cites.
Buy low, sell high: A high frequency trading perspective
Álvaro Cartea, Sebastian Jaimungal, and Jason Ricci · 2014
Cited alongside, same era.
Algorithmic and high-frequency trading
Álvaro Cartea, Sebastian Jaimungal, and José Penalva · 2015
Cited alongside, same era.
A stochastic control approach to option market making
Sofiene El Aoud and Frédéric Abergel · 2015
Cited alongside, same era.
General intensity shapes in optimal liquidation
Olivier Guéant and Charles-Albert Lehalle · 2015
Cited alongside, same era.
Optimal high-frequency trading in a pro rata microstructure with predictive information
Fabien Guilbaud and Huyên Pham · 2015
Cited alongside, same era.
The Financial Mathematics of Market Liquidity: From optimal execution to market making
Olivier Guéant · 2016
Later among the works it cites.
Algorithmic trading with model uncertainty
Álvaro Cartea, Ryan Donnelly, and Sebastian Jaimungal · 2017
Later among the works it cites.
Optimal market making
Olivier Guéant · 2017
Later among the works it cites.
Algorithmic market making for options
Bastien Baldacci, Philippe Bergault, and Olivier Guéant · 2019
Closest in time.
Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality
Olivier Guéant and Iuliia Manziuk · 2019
Closest in time.
alphaXiv searches the wider corpus for related work and actual follow-ups.
alphaXiv is searching for related work…