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I like the question. If you want a practical guide to market making then try the ACI Dealing Simulation Course. That will sort you out... As for how research papers are used in practise, I think it's about tweaking the model, when a better solution to a common problem comes along. For example, there is practical value in the paper Dealing with the Inventory ...


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I used to work in OTC, many of the deals would be so individual I can't imagine an algorithm being able to cope. In addition there were some extra factors like how we feel towards a counterparty and sometimes the broker over whether we would step in or not. I now work in exchange traded futures and options (listed options), and I can say the number one ...



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