[00376] Adaptive Optimal Market-Making Strategies with Inventory Liquidation Costs
Session Time & Room : 3C (Aug.23, 13:20-15:00) @A510
Type : Contributed Talk
Abstract : An optimal market-making strategy for a high-frequency market maker under a discrete-time Limit Order Book model is presented. Interestingly, the optimal market-making strategy adapts to the past arrivals of market orders, making it adapted to previous market information. Admissibility and optimality of the optimal strategy are also proved. Finally, we test our assumptions empirically and compare the optimal strategy to one used under a non-adaptive framework where only the “average” past information is considered.