Corpus ID: 235421965

Algorithmic market making in foreign exchange cash markets: a new model for active market makers

@inproceedings{Barzykin2021AlgorithmicMM,
  title={Algorithmic market making in foreign exchange cash markets: a new model for active market makers},
  author={A. Barzykin and Philippe Bergault and Olivier Gu'eant},
  year={2021}
}
In OTC markets, one of the main tasks of dealers / market makers consists in providing prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically. Over the last ten years, many market making models have been designed that can be the basis of quoting algorithms in OTC markets. However, in the academic literature, most market making models adapted to OTC markets are general… Expand

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