Book2016

The Financial Mathematics of Market Liquidity

140 citations0/0 files storedChapman & Hall/CRC eBooks

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app

Citations in this library

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Cited by

2019Deep reinforcement learning for market making in corporate bonds: beating the curse of dimensionality 2017Optimal market making 2019Incorporating signals into optimal trading 2022Algorithmic market making in dealer markets with hedging and market impact 2020Spoofing and Price Manipulation in Order-Driven Markets

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