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  • Search: subject:"PnL distribution"
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Hamilton-Jacobi-Bellman 1 PnL distribution 1 Quantitative Finance 1 high-frequency trading 1 inventory risk 1 limit-order book 1 market-making 1 optimisation 1 stochastic control 1
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Free 1
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Book / Working Paper 1
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English 1
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Fodra, Pietro 1 Labadie, Mauricio 1
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HAL 1
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High-frequency market-making with inventory constraints and directional bets
Fodra, Pietro; Labadie, Mauricio - HAL - 2012
only direct control on her inventory risk but she also has indirect control on the moments of her PnL distribution … risk-reward profile, depending on her risk budgets in inventory and PnL distribution (especially variance, skewness …
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