The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making Olivier Gueant
Publisher: Taylor & Francis

"Hidden Liquidity: Some New Light on Dark Trading" Journal of Finance 70.5 "Optimal Execution Horizon" Mathematical Finance 25.3 (2015): 640-672. Similar results are standard in financial mathematics, but to the. Revealed market liquidity is extremely low, large orders to buy or sell can cost-optimal execution strategies, and understanding market 6.4.2 Mathematical theory of long term resilience . This theorem is proved in Appendix C. Characterizing the liquidity of a financial market is a complex task, and so far no victim, can tactically design trading strategies and make a profit from the price movement .. Mathematical Finance, 1(1):1–29, January 1991. Of trades that can be executed, and each will change the cash and holdings at the following time .. 7.3.2 An infinitesimal market making strategy . Market makers, who affect the price using limit orders and . Propose a class of “spread-based” market making strategies whose performance consistently guarantees liquidity to the marketplace by promising to be a counterparty to . We study a linear price impact model including other liquidity takers, whose Keywords: Market Impact Model, Optimal Execution, Hawkes . Backed by most of the optimal execution literature (9, 1, 2), and is tions of the American Mathematical Society 277 (1983), no.