Short-Term Market Changes and Market Making with Inventory

We study optimal trading strategy of a market maker with stock inventory in the presence of short-term market changes, especially changes in trading intensity of market participants and stock volatility. We employ Poisson jump processes in modelling such market condition changes. We provide closed form optimal bidding and asking strategies of the market maker, and analyze the market maker's inventory changes accordingly

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Year of publication:	2020
Authors:	Kim, Jin Gi
Other Persons:	Beatson, Sam (contributor) ; Jang, Bong-Gyu (contributor) ; Lee, Ho-Seok (contributor) ; Park, Seyoung (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Börsenmakler \| Stockbrokers

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 1, 2020 erstellt
Other identifiers:	10.2139/ssrn.3639715 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D40 - Market Structure and Pricing. General ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012829572