We propose a framework for studying optimal market-making policies in a limit order book
(LOB). The bid–ask spread of the LOB is modeled by a tick-valued continuous-time Markov …

This paper proposes and studies an optimal placement problem in a limit order book. Under
a correlated random walk model with mean-reversion for the best ask/bid price, optimal …

Order positions are key variables in algorithmic trading. This paper studies the limiting
behavior of order positions and related queues in a limit order book. In addition to the fluid …

This study investigates the optimal execution strategy of market-making for market and limit
order arrival dynamics under a novel framework that includes a synchronised factor between …

In their pursue for profit, market makers contribute liquidity and thus play a fundamental role
for the health of financial markets. The mechanism used to rank bids and asks in order …

This study estimates the true price of an asset and finds the optimal bid/ask prices for market
makers. We provide a novel state-space model based on the exponential Ornstein …

Whilst the academic research into the Market-Maker Problem, following [22] and [3], has
produced invaluable insights into the optimisation of risk exposure and expected profits …

In financial markets, every investor seeks and receives information to decide how they
should act (eg, buy or sell a certain asset). In certain social circles, investors also learn about …

Market makers quote bid and ask prices throughout the trading day for assets under their
consideration. Consequently, they face an optimisation problem in which they seek to …

This paper studies the price‐setting problem of market makers under risk neutrality and
perfect competition in continuous time. The classic approach of Glosten–Milgrom is followed …