16 citations · 16 across the 8 of their papers we have counts for
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q-fin.MF2026
Avellaneda-Stoikov and Cartea-Jaimungal as One Framework: A Forced Uniqueness Theorem for Inventory Market Making
Frank M. V. Feys
In inventory market making, the running-penalty coefficient of the Cartea-Jaimungal framework and the risk-aversion parameter of the Avellaneda-Stoikov framework are typica…
q-fin.MF2026
Axiomatic Market Making
Frank M. V. Feys
This paper axiomatizes the bid-ask market maker's quoting rule. A quoting rule maps the maker's state, namely inventory, belief, variance, trade intensity, and informed-trader frac…