Intraday market making with overnight inventory costs

Journal of Financial Markets - Tập 50 - Trang 100564 - 2020
Tobias Adrian1, Agostino Capponi2, Michael Fleming3, Erik Vogt4, Hongzhong Zhang2
1International Monetary Fund, USA
2Columbia University, USA
3Federal Reserve Bank of New York, USA
4Citadel LLC, USA

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