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Optimal High-Frequency Market Making

Optimal High-Frequency Market Making

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stochastic control framework.Avellaneda and Stoikov(2008) extends the model proposed by Ho and Stoll(1981), derives the optimal bid and ask quotes using asymptotic expansion and applies it to high-frequency market making. Furthermore,Gu eant, Lehalle, and Fernandez-

  Using, Stochastic

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