Optimal quoting under adverse selection and price reading

CLICK HERE TO DOWNLOAD THE PDF

Alexander Barzykin, Philippe Bergault, Olivier Guéant and Malo Lemmel tackle two critical risks in market making that are seldom addressed beyond stylised models: adverse selection (arising from informed traders) and price reading (where the market maker’s quotes reveal their inventory). Practitioners are well acquainted with these risks, routinely facing informed

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Similar Posts

Leave a Reply

Your email address will not be published. Required fields are marked *