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      Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond
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      Chapter

      Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond

      DOI link for Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond

      Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond book

      Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond

      DOI link for Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond

      Market making models: from Avellaneda-Stoikov to Gue´ant- Lehalle, and beyond book

      ByOlivier Gueant
      BookThe Financial Mathematics of Market Liquidity

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      Edition 1st Edition
      First Published 2016
      Imprint Chapman and Hall/CRC
      Pages 26
      eBook ISBN 9780429153778
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      ABSTRACT

      In the previous chapters, we mainly dealt with optimal execution: the optimal execution of a large order to liquidate a portfolio, the optimal execution of a hedging strategy, and the optimal execution strategy in the case of a buy-back contract. Therefore, our focus was mainly on liquidity taking issues – even though we also considered the use of liquidity-providing (limit) orders to buy or sell shares, for instance when we dealt with tactics in Chapter 7. In this chapter on market making, we focus instead on liquidity provision.

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