Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Barzykin, Alexander"'
We consider a central trading desk which aggregates the inflow of clients' orders with unobserved toxicity, i.e. persistent adverse directionality. The desk chooses either to internalise the inflow or externalise it to the market in a cost effective
Externí odkaz:
http://arxiv.org/abs/2407.04510
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, which is the price difference between futures and spot, plays a pivotal r
Externí odkaz:
http://arxiv.org/abs/2404.15478
In FX cash markets, market makers provide liquidity to clients for a wide variety of currency pairs. Because of flow uncertainty and market volatility, they face inventory risk. To mitigate this risk, they typically skew their prices to attract or di
Externí odkaz:
http://arxiv.org/abs/2207.04100
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (internalization), or trade with other dealers in the open market to hedg
Externí odkaz:
http://arxiv.org/abs/2112.02269
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as foreign ex
Externí odkaz:
http://arxiv.org/abs/2106.06974
Autor:
Barzykin, Alexander, Lillo, Fabrizio
We solve the problem of optimal liquidation with volume weighted average price (VWAP) benchmark when the market impact is linear and transient. Our setting is indeed more general as it considers the case when the trading interval is not necessarily c
Externí odkaz:
http://arxiv.org/abs/1901.02327
Autor:
Barzykin, Alexander1 (AUTHOR), Bergault, Philippe2 (AUTHOR), Guéant, Olivier3 (AUTHOR) olivier.gueant@univ-paris1.fr
Publikováno v:
Mathematical Finance. Jan2023, Vol. 33 Issue 1, p41-79. 39p.
Publikováno v:
Mathematical Finance. 33:41-79
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting task has to be done algorithmically in most markets such as foreign ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0fdc65da6bb6d07836daa5e9b7a974d
https://doi.org/10.1111/mafi.12367
https://doi.org/10.1111/mafi.12367
Publikováno v:
In Coordination Chemistry Reviews 2004 248(13):1195-1213
Publikováno v:
Journal of Chemical Physics; 2/4/2012, Vol. 136 Issue 5, p054115, 6p