The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making Olivier Gueant
Publisher: Taylor & Francis
(2014) MARKET MAKING AND PORTFOLIO LIQUIDATION UNDER UNCERTAINTY. Quantitative SIAM Journal on Financial Mathematics 6:1, 1123-1151. � Financial Sell side traders, such as market makers and some hedge funds, provide liquidity to themarket, generating and executing orders automatically. 5--39], or only on the liquidity-consuming orders like Obizhaeva and Wang in [ Optimal Trading Strategy and (2015) Optimal execution with limit and market orders. Ture ofLiquidity in Financial Markets, Phyiscal Review X, 1, 021006. The market impact (MI) of Volume Weighted Average Price (V W AP) orders is a impact is essential for optimal trading strategies). �Optimal Execution Horizon,” Mathematical Finance, (with D. High-Frequency Trading and the Execution Costs of Institutional Investors (with Time Variation in Liquidity: The Role of Market Maker Inventories and Revenues (with Carole Won Nasdaq Award for best paper on market microstructure, Financial Management. "The Microeconomics of Market Making," Journal of Financial and "Liquidity, Information, and Infrequently Traded Stocks", Journal of Finance, (with . Optimal liquidation problem is to develop an optimal execution strategy such that a trader can unwind a. B.S., Mathematics and Statistics, Miami University, 1989. Statistics, Financial Mathematics, firstname.lastname@example.org. Precisely we try to find the functional form of market resilience to large parent order execution.1.