From the 2 of 10 linked papers with an AI index.
10 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
The paper proposes a mesoscopic model for optimal execution using passive limit orders, capturing how fill probabilities decay exponentially with quote distance and how prices resp…
Strategic OTC market making with reputation feedback
Alexander Barzykin
The paper builds a stochastic‑control model of OTC market making where a dealer’s reputation, measured by RFQ win and fill ratios, influences future order flow, creating a trade‑of…
Optimal Quoting under Adverse Selection and Price Reading
Alexander Barzykin, Philippe Bergault, Olivier Guéant +2
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…
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…
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…