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?
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2$\begingroup$ Look for answers of @lehalle here. There are several studies mentioned. $\endgroup$ – Ilya Sep 6 '13 at 8:47
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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 ;{)}
