• DOI:10.1111/mafi.12286
Corpus ID: 216599845

Size matters for OTC market makers: general results and dimensionality reduction techniques.

@article{Bergault2019SizeMF,
  title={Size matters for OTC market makers: general results and dimensionality reduction techniques.},
  author={Philippe Bergault and Olivier Gu{\'e}ant},
  journal={arXiv: Trading and Market Microstructure},
  year={2019}
}

Philippe Bergault, Olivier Guéant

Published 2019

Economics

arXiv: Trading and Market Microstructure

In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting optimization problem: they need to choose bid and ask prices for making money while mitigating the risk associated with holding inventory in a volatile market. Many market making models have been proposed in the academic literature, most of them dealing with… CONTINUE READING

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