Optimal dealer pricing under transactions and return uncertainty
IntermediateHFTIntradayTheoryTestable with your data
The first inventory-based dealer model: quotes shift with inventory to control risk. Avellaneda-Stoikov's direct ancestor.
At a glance
- Level
- Intermediate: Comfortable with statistics, regressions and basic probability models
- Horizon
- HFT, Intraday
- Data needed
- None to read it; no dataset required Set what data you have
- Themes
- Market making
- Assets
- Equities
- Market
- Global