In the past 2 months, I have read number of literature on market making; however, all of it has not considered transaction fee. Therefore, when implemented, those strategies are all loss-making after transaction fee. Does anyone know if there is any good literature on this topic which has considered transaction fee? Thank you in advance!

Edit 1: for some context, I am doing a research project on marketing making in crypto. So, basically, I am the market maker and will need to pay transaction fees to crypto exchanges.

  • $\begingroup$ Thanks @noob2, I have added the context to the question edit! $\endgroup$
    – Khanh
    Jul 19, 2021 at 9:03
  • $\begingroup$ Khanh: Generally speaking ( maybe there are exceptions to this statement ), a paper that includes transaction costs and makes $ is going to be rare because, if something like that was constructed, it's not going to be published. So, the usual publication either includes a profitable model that doesn't include TC or a not profitable model that includes TC. $\endgroup$
    – mark leeds
    Jul 20, 2021 at 13:36
  • $\begingroup$ hey @markleeds, yes, I have the same train of thought as well. Just want to pick the brain of the community to see if there is actually any around. Thanks, though! $\endgroup$
    – Khanh
    Jul 21, 2021 at 6:25
  • $\begingroup$ It's a good idea to ask. you never know. $\endgroup$
    – mark leeds
    Jul 22, 2021 at 10:30


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