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20092026
most citedDealing with the Inventory Risk. A solution to the market making problem

218 citations · 393 across the 16 of their papers we have counts for

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q-fin.TR2009★ 1 cited

Optimal split of orders across liquidity pools: a stochastic algorithm approach

Sophie Laruelle, Charles-Albert Lehalle, Gilles Pagès

Evolutions of the trading landscape lead to the capability to exchange the same financial instrument on different venues. Because of liquidity issues, the trading firms split large…