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I am interested in articles/strategies related to portfolio and inventory management for market makers and to management of order cancellation, updates of order, etc.

Most of the strategies from articles are related to a market maker who quotes only one line (one security). What about those who quotes several lines?

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  • $\begingroup$ Would it be better to delete "and to management of order cancellation, updates of order, etc." from the question or is it ok that broad? $\endgroup$
    – Trajan
    Feb 21, 2019 at 21:24
  • $\begingroup$ what do you mean by "quotes only one/several lines"? One/several lines from what? $\endgroup$
    – develarist
    Nov 15, 2019 at 21:25

1 Answer 1

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I can't provide any papers, but market makers tend to shift pricing by the current inventory they have in that asset. Furthermore they will shift pricing of asset A by the inventory they have in all assets similar to asset A.

The methodology for how much to shift by, whether to shift mid/bid/ask and what constitutes as 'similar' is what the market making firms compete on.

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