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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    $\begingroup$ Look for answers of @lehalle here. There are several studies mentioned. $\endgroup$
    – Ilya
    Commented Sep 6, 2013 at 8:47

1 Answer 1


In fact you have three papers available to go further:

I prefer the last one ;{)}

To read them, you need to know Stochastic Differential Equations (with jumps) and Stochastic Control (especially Hamilton-Jacobi-Bellman expressions of Stochastic Control with jumps).

  • $\begingroup$ Would it possible for you to enlist the topics in quantitative finance that I need to be familiar with to be able to comprehend these papers ? Just to give you my background, I have a bachelor's in mechanical engineering and masters in data science and statistics. I am somewhat familiar with quantitative finance and algorithmic trading but I am looking to delve deeper into it. Thanks $\endgroup$ Commented May 5, 2022 at 21:23
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    $\begingroup$ done @AdnanTamimi $\endgroup$
    – lehalle
    Commented May 6, 2022 at 3:40
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    $\begingroup$ The proper name of the author of the second referenced paper is Ludkovski $\endgroup$ Commented Aug 7, 2023 at 2:19
  • $\begingroup$ @DmitryMottl thank you: corrected (and sorry for Mike if he reads this, a problem of lowercase...) $\endgroup$
    – lehalle
    Commented Aug 9, 2023 at 6:59

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