
Dealing with the Inventory Risk
Guéant, Olivier; Lehalle, Charles-Albert; Tapia, Joaquin Fernandez (2011), Dealing with the Inventory Risk. https://basepub.dauphine.fr/handle/123456789/7390
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Type
Document de travail / Working paperDate
2011Éditeur
Université Paris-Dauphine
Titre de la collection
Cahiers de la Chaire Finance et Développement DurableNuméro dans la collection
43Ville d’édition
Paris
Pages
31
Métadonnées
Afficher la notice complèteRésumé (EN)
Market makers have to continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency they indeed provide liquidity, is challenged by the price risk they bear due to their inventory. In this paper, we provide optimal bid and ask quotes and closed-form approximations are derived using spectral arguments.Mots-clés
Trading process; Stocks; Risk; InventoryPublications associées
Affichage des éléments liés par titre et auteur.
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Guéant, Olivier; Lehalle, Charles-Albert; Tapia, Joaquin Fernandez (2011) Document de travail / Working paper
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Fernandez-Tapia, Joaquin; Guéant, Olivier; Lasry, Jean-Michel (2017) Article accepté pour publication ou publié
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Brière, Marie; Lehalle, Charles-Albert; Nefedova, Tamara; Raboun, Amine (2019) Document de travail / Working paper
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Brière, Marie; Lehalle, Charles-Albert; Nefedova, Tamara; Raboun, Amine (2020) Communication / Conférence
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Cardaliaguet, Pierre; Lehalle, Charles-Albert (2017) Article accepté pour publication ou publié