From the 1 of 5 linked papers with an AI index.
5 papers
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…
Competition in Dealer Markets with Internalisation and Externalisation
Robert Boyce, Eyal Neuman
We model a market with multiple dealers who compete for client order flow by dynamically updating their bid and ask quotes for a risky asset. Dealers aim to maximise expected profi…
FX Market Making with Internal Liquidity
Alexander Barzykin, Robert Boyce, Eyal Neuman
As the FX markets continue to evolve, many institutions have started offering passive access to their internal liquidity pools. Market makers act as principal and have the opportun…
Unwinding Toxic Flow with Partial Information
Alexander Barzykin, Robert Boyce, Eyal Neuman
We consider a central trading desk which aggregates the inflow of clients' orders with unobserved toxicity, i.e. persistent adverse directionality. The desk chooses either to inter…
Fluid-Limits of Fragmented Limit-Order Markets
Johannes Muhle-Karbe, Eyal Neuman, Yonatan Shadmi
Maglaras, Moallemi, and Zheng (2021) have introduced a flexible queueing model for fragmented limit-order markets, whose fluid limit remains remarkably tractable. In the present st…