46 citations · 98 across the 13 of their papers we have counts for
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q-fin.TR2021★ 1 cited
Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts
Agostino Capponi, José E. Figueroa-López, Chuyi Yu
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each perio…
q-fin.TR2017
Optimal placement of a small order in a diffusive limit order book
José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a di…