Finance and Stochastics Szeminárium – Shijia Jin

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Speaker: Shijia Jin Title: Macroscopic market making Abstract: Trade execution and market making are two central problems in algorithmic trading that have largely been studied in separate literatures. We present a unified approach that addresses both problems simultaneously in three steps. We introduce a macroscopic market making model à la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. Since the impact of a single market maker on price is typically negligible, we then develop the corresponding game formulation. Finally, we can connect traders w…