New answers tagged algorithm
It does create a see-saw. This can be reduced by having it charge a slightly bigger spread, which gets contributed to b. In this way, b effectively becomes a market making fund, and volatility decreases as trade volume increases. This makes the LMSR market maker liquidity sensitive. This makes the market more efficient as spreads decrease over time as ...
It is very possible to produce code in Java that: Does not create any garbage so GC never kicks in. It is JIT-friendly so the critical parts will be compiled by the hotspot. If you do that, you can get code as fast as C++. Some of the most successful HFT hedge funds out there use Java. For example, we have developed a FIX engine (CoralFIX) that produces ...
Since there is a closed form in the BS case for continuous barrier options, you probably won't find a huge amount of work on this since it's not needed. In the discrete case, I did a paper with Tang: http://ssrn.com/abstract=1441142 Pricing and Deltas of Discretely-Monitored Barrier Options Using Stratified Sampling on the Hitting-Times to the Barrier
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