1 citations · 1 across the 2 of their papers we have counts for
2 papers
q-fin.MF2015
Dark-Pool Perspective of Optimal Market Making
M. Alessandra Crisafi, Andrea Macrina
We consider a finite-horizon market-making problem faced by a dark pool that executes incoming buy and sell orders. The arrival flow of such orders is assumed to be random and, for…
q-fin.MF2014★ 1 cited
Simultaneous Trading in 'Lit' and Dark Pools
M. Alessandra Crisafi, Andrea Macrina
We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an o…