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dc.contributor.authorBaradel, Nicolas
dc.contributor.authorBouchard, Bruno
dc.contributor.authorEvangelista, David
dc.contributor.authorMounjid, Othmane
dc.date.accessioned2018-09-03T12:47:23Z
dc.date.available2018-09-03T12:47:23Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17926
dc.language.isoenen
dc.subjectOptimal trading
dc.subjectMarket impact
dc.subjectOptimal control
dc.subject.ddc519en
dc.titleOptimal inventory management and order book modeling
dc.typeDocument de travail / Working paper
dc.description.abstractenWe 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.
dc.identifier.citationpages40
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphine
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenon
dc.description.halcandidatenon
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2018-10-05T12:55:15Z
hal.person.labIds60$$$92774
hal.person.labIds60
hal.person.labIds481110
hal.person.labIds89626


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