• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Optimal inventory management and order book modeling

Thumbnail
View/Open
Cemracs2017OrderBook.pdf (3.112Mb)
Date
2018
Publisher city
Paris
Publisher
Cahier de recherche CEREMADE, Université Paris-Dauphine
Publishing date
2018
Collection title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Dewey
Probabilités et mathématiques appliquées
Sujet
Optimal trading; Market impact; Optimal control
URI
https://basepub.dauphine.fr/handle/123456789/17926
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Baradel, Nicolas
Bouchard, Bruno
Evangelista, David
Mounjid, Othmane
Type
Document de travail / Working paper
Item number of pages
40
Abstract (EN)
We model the behavior of three agent classes acting dynamically in a limit order book of a financial asset. Namely, we consider market makers (MM), high-frequency trading (HFT) firms, and institutional brokers (IB). Given a prior dynamic of the order book, similar to the one considered in the Queue-Reactive models [14, 20, 21], the MM and the HFT define their trading strategy by optimizing the expected utility of terminal wealth, while the IB has a prescheduled task to sell or buy many shares of the considered asset. We derive the variational partial differential equations that characterize the value functions of the MM and HFT and explain how almost optimal control can be deduced from them. We then provide a first illustration of the interactions that can take place between these different market participants by simulating the dynamic of an order book in which each of them plays his own (optimal) strategy.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.