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Corrected number formatting
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edit approved Dec 4, 2019 at 6:15
Simon East
edit approved Dec 4, 2019 at 6:15
Simon East
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Check out Avellaneda and Stoikov (2008)

They model the market maker's problem in a very neat and easy to code way. Some caveats of the model, in case you do decide to use it:

i) the price process is the simplest one possible, does not consider drift or market impact of your orders;

ii) orders that are not executed are cancelled at the end of each time step (this has no cost to you, but it is something to pay attention to when you are trading, so as to not 'forget' orders in the book.

  1. The price process is the simplest one possible, does not consider drift or market impact of your orders;

  2. Orders that are not executed are cancelled at the end of each time step (this has no cost to you, but it is something to pay attention to when you are trading, so as to not 'forget' orders in the book.

Check out Avellaneda and Stoikov (2008)

They model the market maker's problem in a very neat and easy to code way. Some caveats of the model, in case you do decide to use it:

i) the price process is the simplest one possible, does not consider drift or market impact of your orders;

ii) orders that are not executed are cancelled at the end of each time step (this has no cost to you, but it is something to pay attention to when you are trading, so as to not 'forget' orders in the book.

Check out Avellaneda and Stoikov (2008)

They model the market maker's problem in a very neat and easy to code way. Some caveats of the model, in case you do decide to use it:

  1. The price process is the simplest one possible, does not consider drift or market impact of your orders;

  2. Orders that are not executed are cancelled at the end of each time step (this has no cost to you, but it is something to pay attention to when you are trading, so as to not 'forget' orders in the book.

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python_enthusiast
python_enthusiast
  • 656
  • 3
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Check out Avellaneda and Stoikov (2008)

They model the market maker's problem in a very neat and easy to code way. Some caveats of the model, in case you do decide to use it:

i) the price process is the simplest one possible, does not consider drift or market impact of your orders;

ii) orders that are not executed are cancelled at the end of each time step (this has no cost to you, but it is something to pay attention to when you are trading, so as to not 'forget' orders in the book.