About this document
Overview of Market Making Models by pedro serrano is a document available to read on EtoBox.
The document provides an overview of various market making models, primarily focusing on the well-known Avellaneda & Stoikov model, while also discussing other models such as inventory-based and information-based models. It explains the utility functions used in market making, the parameters involved, and the implications of risk aversion and liquidity on bid-ask spreads. Additionally, it highlights the importance of incorporating alphas into market making strategies for improved profitability.
- Author
- pedro serrano
- Language
- EN