1 citations · 1 across the 11 of their papers we have counts for
11 papers
Hawkes-Driven OTC Market Making: Volterra-Riccati Approximation
Alexander Barzykin
We formulate an over-the-counter (OTC) market-making problem in which request-for-quote (RFQ) arrivals are modelled by general Hawkes kernels and fills are controlled thinnings of…
Optimal Execution with Passive Market Impact
Alexander Barzykin, Robert Boyce, Eyal Neuman +1
We derive a mesoscopic model for optimal execution with limit orders that incorporates microstructural features of passive price impact. Our framework is based on two empirical obs…
Strategic OTC market making with reputation feedback
Alexander Barzykin
Electronic over-the-counter (OTC) liquidity provision is increasingly shaped not only by the price of the next quote, but also by a dealer's accumulated standing with clients and p…
Bond Market Making with a Hit-Ratio Target
Alexander Barzykin, Axel Ciceri
We study OTC bond market making on a size ladder with quadratic inventory penalty and a running target on the dealer's size-weighted hit ratio within a stochastic optimal control a…
Win-score promotion gates in aggregator-routed RFQ markets: A two-tier stochastic control model
Alexander Barzykin
We study market making in aggregator-routed RFQ markets where platform routing depends on slowly varying dealer performance scores. We propose a two-tier stochastic control model t…
Dynamic slippage control and rejection feedback in spot FX market making
Alexander Barzykin
We study an OTC FX market-making problem, built on the Avellaneda-Stoikov tradition, in which a dealer streams size-dependent quotes on a discrete ladder and manages inventory risk…
Market Making and Transient Impact in Spot FX
Alexander Barzykin
Dealers in foreign exchange markets provide bid and ask prices to their clients at which they are happy to buy and sell, respectively. To manage risk, dealers can skew their quotes…
FX Market Making with Internal Liquidity
Alexander Barzykin, Robert Boyce, Eyal Neuman
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportun…
Optimal Quoting under Adverse Selection and Price Reading
Alexander Barzykin, Philippe Bergault, Olivier Guéant +1
Over the past decade, many dealers have implemented algorithmic models to automatically respond to RFQs and manage flows originating from electronic platforms. In parallel, buildin…
Unwinding Toxic Flow with Partial Information
Alexander Barzykin, Robert Boyce, Eyal Neuman
We consider a central trading desk which aggregates the inflow of clients' orders with unobserved toxicity, i.e. persistent adverse directionality. The desk chooses either to inter…
Market Making in Spot Precious Metals
Alexander Barzykin, Philippe Bergault, Olivier Guéant
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, whi…