academic papers about market making

Question

I am looking for academic articles which model the p&L of market makers. I have read the Ho-Stoll (1984) article. Is there any recent article on this subject?

Answer 1

In fact you have three papers available to go further:

• The Avellaneda-Stoikov one, with proper model and an approximate solution
• The Bayraktar-Ludvkosli one, with a solution for the linear utility function
• The L-Guéant-Fernandez one, with a full solution for a generic utility function

I prefer the last one ;{)}