Speaker: Shijia Jin
Title: Macroscopic market making
Abstract:Â Trade execution and market making are two central problems in algorithmic trading that have largely been studied in separate literatures. We present a unified approach that addresses both problems simultaneously in three steps.
We introduce a macroscopic market making model à la Avellaneda-Stoikov, using continuous processes for orders instead of discrete point processes. Since the impact of a single market maker on price is typically negligible, we then develop the corresponding game formulation. Finally, we can connect traders with market makers.
Mathematically, the goal is to derive the global well‑posedness of the optimal control/Nash equilibrium. The discussion addresses topics in non‑smooth analysis, FBSDEs, and Riccati equations.