9 citations · 12 across the 2 of their papers we have counts for
3 papers
q-fin.TR2013★ 3 cited
High-frequency market-making for multi-dimensional Markov processes
Pietro Fodra, Mauricio Labadie
In this paper we complete and extend our previous work on stochastic control applied to high frequency market-making with inventory constraints and directional bets. Our new model…
q-fin.TR2012★ 9 cited
High-frequency market-making with inventory constraints and directional bets
Pietro Fodra, Mauricio Labadie
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No…
q-fin.TR2012
Optimal starting times, stopping times and risk measures for algorithmic trading: Target Close and Implementation Shortfall
Mauricio Labadie, Charles-Albert Lehalle
We derive explicit recursive formulas for Target Close (TC) and Implementation Shortfall (IS) in the Almgren-Chriss framework. We explain how to compute the optimal starting and st…