8 citations · 14 across the 3 of their papers we have counts for
Showing 2021 · q-fin.TRShow all
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q-fin.TR2021★ 5 cited
Market making by an FX dealer: tiers, pricing ladders and hedging rates for optimal risk control
Alexander Barzykin, Philippe Bergault, Olivier Guéant
Dealers make money by providing liquidity to clients but face flow uncertainty and thus price risk. They can efficiently skew their prices and wait for clients to mitigate risk (in…
q-fin.TR2021★ 8 cited
Algorithmic market making in dealer markets with hedging and market impact
Alexander Barzykin, Philippe Bergault, Olivier Guéant
In dealer markets, dealers provide prices at which they agree to buy and sell the assets and securities they have in their scope. With ever increasing trading volume, this quoting…