Dealing with the Inventory Risk

dc.contributor.author	Guéant, Olivier HAL ID: 10375
dc.contributor.author	Lehalle, Charles-Albert HAL ID: 12866 ORCID: 0000-0002-9978-9501
dc.contributor.author	Tapia, Joaquin Fernandez
dc.date.accessioned	2011-11-03T18:37:24Z
dc.date.available	2011-11-03T18:37:24Z
dc.date.issued	2011
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/7390
dc.language.iso	en	en
dc.subject	Trading process	en
dc.subject	Stocks	en
dc.subject	Risk	en
dc.subject	Inventory	en
dc.subject.ddc	519	en
dc.subject.classificationjel	G1	en
dc.title	Dealing with the Inventory Risk	en
dc.type	Document de travail / Working paper
dc.description.abstracten	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.	en
dc.publisher.name	Université Paris-Dauphine	en
dc.publisher.city	Paris	en
dc.identifier.citationpages	31	en
dc.relation.ispartofseriestitle	Cahiers de la Chaire Finance et Développement Durable	en
dc.relation.ispartofseriesnumber	43	en
dc.description.sponsorshipprivate	oui	en
dc.subject.ddclabel	Probabilités et mathématiques appliquées	en

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