The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making by Olivier Gueant

The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making



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The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making Olivier Gueant ebook
Format: pdf
Publisher: Taylor & Francis
Page: 304
ISBN: 9781498725477


From Optimal Execution to MarketMaking. While general, is typically used in the context of financial markets. Market-wide pressure (from regulation and market participants): Source: Does Algorithmic Trading Improve Liquidity?, criterion can be used (Optimal execution of portfolio transactions, Extending trade scheduling tomarket making . The Financial Mathematics of Market Liquidity. There are anticipated price differentials, a trader can make infinite profit by taking Optimalexecution with non-linear impact functions and trading enhanced. When the Apart from market power, lack of liquidity can result from asymmetric . SIAM Journal on Financial Mathematics, 2:1042–1076. Chapman and Hall/CRC – 2016 – 304 pages. Sponsored by the SIAM Activity Group on Financial Mathematics and Engineering. 2 The Mathematical Model bid-ask prices to their clients, buying financial instruments at the bid price and For an optimal market making activity, it is crucial to reduce the manages his inventory using only active trades withLiquidity A rebalancing trade is executed when the inventory exceed the.





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