On Optimal Market-Making in Price-Time Priority Queues
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URL
Journal Title
Journal ISSN
Volume Title
Perustieteiden korkeakoulu |
Master's thesis
Authors
Date
2020-10-20
Department
Major/Subject
Applied Mathematics
Mcode
SCI3053
Degree programme
Master’s Programme in Mathematics and Operations Research
Language
en
Pages
87+9
Series
Description
Supervisor
Hyvönen, NuuttiThesis advisor
Kaila, RuthKeywords
high frequency trading, market-making, stochastic control, inventory management