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[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.
  • Classification : 91G15, 93E20, 91B70, 91G30, 49J55
  • Format : Talk at Waseda University
  • Author(s) :
    • Jonathan Allan Chávez Casillas (University of Rhode Island)
    • José Enrique Figueroa López (Washington University in St. Louis)
    • Chuyi Yu (Washington University in St. Louis)
    • Yi Zhang (University of Illinois Urbana-Champaign)