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accepted What are important model and assumption-free no-arbitrage conditions in options trading?
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accepted How can we reverse engineer a market-making algorithm (HFT)?
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Jun
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revised How can we reverse engineer a market-making algorithm (HFT)?
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accepted A generic limit order book: What are the most important queries it should be able to answer?
Jun
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accepted Order submission strategies of a rational market maker?
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revised How can we reverse engineer a market-making algorithm (HFT)?
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revised How can we reverse engineer a market-making algorithm (HFT)?
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revised How can we reverse engineer a market-making algorithm (HFT)?
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asked How can we reverse engineer a market-making algorithm (HFT)?
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revised How to generalize the Vickrey auction for two-sided trading?
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revised What concepts are the most dangerous ones in quantitative finance work?
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May
24
comment Order submission strategies of a rational market maker?
@richardh Intra day short sells (short sells that are netted against a long position before the end of the trading day) are often provided for free by the sponsoring broker. This holds even for a lot of retail brokers. Since the market maker can be assumed to close all his positions by the end of the day short sells are literally free.
May
24
asked Order submission strategies of a rational market maker?