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q-fin.MF2024
Market Making with Exogenous Competition
Robert Boyce, Martin Herdegen, Leandro Sánchez-Betancourt
We study liquidity provision in the presence of exogenous competition. We consider a `reference market maker' who monitors her inventory and the aggregated inventory of the competi…
q-fin.TR2024
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…