Séminaire FDD-FiME // O. Guéant
Séminaire FDD-FiME // O. Guéant
Olivier Guéant (CES, Université Paris 1 Panthéon – Sorbonne). Titre : From Theoretical Results to Real-World Applications in Bonds, FX, and Cryptocurrencies: An Overview of Market Making Abstract : Since the seminal work of Ho and Stoll revisited by Avellaneda and Stoikov, algorithmic market-making models have evolved to include increasingly realistic features such as trade sizes, complex price dynamics, tiering, externalization, market impact, etc. These models have been applied to a range of assets, from illiquid corporate bonds to highly liquid foreign exchanges. This talk aims to explore the key developments of the past 15 years, spanning theoretical advancements to practical use cases by investment banks and cryptocurrency startups, while highlighting the challenges that still need to be addressed. Download slides