英文标题：
《Size matters for OTC market makers: general results and dimensionality
reduction techniques》
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作者：
Philippe Bergault, Olivier Gu\\\'eant
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最新提交年份：
2020
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英文摘要：
In most OTC markets, a small number of market makers provide liquidity to other market participants. More precisely, for a list of assets, they set prices at which they agree to buy and sell. Market makers face therefore an interesting optimization problem: they need to choose bid and ask prices for making money while mitigating the risk associated with holding inventory in a volatile market. Many market making models have been proposed in the academic literature, most of them dealing with single-asset market making whereas market makers are usually in charge of a long list of assets. The rare models tackling multi-asset market making suffer however from the curse of dimensionality when it comes to the numerical approximation of the optimal quotes. The goal of this paper is to propose a dimensionality reduction technique to address multi-asset market making by using a factor model. Moreover, we generalize existing market making models by the addition of an important feature: the existence of different transaction sizes and the possibility for the market makers in OTC markets to answer different prices to requests with different sizes.
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中文摘要：
在大多数OTC市场，少数做市商向其他市场参与者提供流动性。更准确地说，对于资产清单，他们设定了同意买卖的价格。因此，做市商面临一个有趣的优化问题：他们需要选择出价和要价来赚钱，同时降低在动荡市场中持有库存的风险。学术文献中提出了许多做市商模型，其中大多数涉及单一资产做市，而做市商通常负责一长串资产。然而，当涉及到最优报价的数值近似时，处理多资产做市的罕见模型受到维数灾难的影响。本文的目的是提出一种利用因子模型解决多资产做市问题的降维技术。此外，我们通过增加一个重要特征来概括现有做市商模型：存在不同的交易规模，OTC市场的做市商有可能对不同规模的请求回答不同的价格。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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