2 papers
q-fin.RM2026
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…
quant-ph2025
Enhanced fill probability estimates in institutional algorithmic bond trading using statistical learning algorithms with quantum computers
Axel Ciceri, Austin Cottrell, Joshua Freeland +13
The estimation of fill probabilities for trade orders represents a key ingredient in the optimization of algorithmic trading strategies. It is bound by the complex dynamics of fina…