Market Making under a Weakly Consistent Limit Order Book Model

@article{Law2019MarketMU,
  title={Market Making under a Weakly Consistent Limit Order Book Model},
  author={Baron Law and F. Viens},
  journal={arXiv: Trading and Market Microstructure},
  year={2019}
}
  • Baron Law, F. Viens
  • Published 2019
  • Computer Science, Economics
  • arXiv: Trading and Market Microstructure
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions as well as the use of market orders. It also honors the consistency of price movements upon arrivals of different order types. For example, it is apparent that prices should never… Expand
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