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High-frequency market-making with inventory constraints and directional bets
Quantitative Finance high-frequency trading, market-making limit-order book inventory risk optimisation stochastic control Hamilton-Jacobi-Bellman PNL distribution.
2012/9/14
In this paper we extend the market-making models with inventory constraints of Avellaneda andStoikov (High-frequency trading in a limit-order book, Quantitative Finance Vol.8 No.3 2008) and Gueant, L...