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A large proportion of market making models derive from the seminal model of Avellaneda and Stoikov. The numerical approximation of the value function and the optimal quotes in these models remains a challenge when the number of assets is large. In this article, we propose closed-form...
This paper provides an integrated overview of the effects of the implementation of the SEC’s Tick Pilot program on liquidity and competition in U.S. markets, separated into three groups by tick size. We confirm the standard effects of tick size changes on quoted spreads, realized spreads, and...
Using the concept of self-decomposable subordinators introduced by Gardini, Sabino, and Sasso, we build a new bivariate Normal Inverse Gaussian process that can capture stochastic delays. In addition, we also develop a novel path simulation scheme that relies on the mathematical connection...
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