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摘要翻译：
本文将Avellaneda和Stoikov（“High-Frequency trading In a limit-order Book”,Monitial Finance Vol.8 No.3,2008）和Gueant,Lehalle和Fernandez-Tapia（“处理库存风险”,预印本2011）的库存约束做市模型推广到一类相当一般的中间价格过程，在指数或线性PNL效用函数下，并增加了一个库存风险厌恶参数，如果做市商以非零库存结束一天，则对其进行惩罚。这种通用的非鞅框架允许做市商在控制库存风险的同时，对市场趋势进行定向押注。为了实现这一目标，标记制造者发出非对称限价指令，如果她预计价格会上涨（或下跌），则有利于市场指令达到她的出价（或要求）报价。在这个库存风险厌恶参数下，做市商不仅可以直接控制其库存风险，而且可以间接控制其PNL分布的时刻。因此，这个参数可以被看作是对标记者的风险-回报轮廓的微调。在均值回归的中间价格情况下，我们用数值方法证明了库存风险厌恶参数给做市商提供了足够的空间来调整她的风险报酬分布，这取决于她在库存和PNL分布中的风险预算（特别是方差、偏度、峰度和VaR）。例如，与鞅基准相比，一个市场可以选择将其平均PNL增加15%以上，并在库存和PNL上承担巨大风险，或者放弃其基准PNL的5%，以增加对库存和PNL的控制，以及将夏普比率增加大于2的因子。
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英文标题：
《High-frequency market-making with inventory constraints and directional
bets》
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作者：
Pietro Fodra and Mauricio Labadie
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最新提交年份：
2012
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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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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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英文摘要：
In this paper we extend the market-making models with inventory constraints of Avellaneda and Stoikov ("High-frequency trading in a limit-order book", Quantitative Finance Vol.8 No.3 2008) and Gueant, Lehalle and Fernandez-Tapia ("Dealing with inventory risk", Preprint 2011) to the case of a rather general class of mid-price processes, under either exponential or linear PNL utility functions, and we add an inventory-risk-aversion parameter that penalises the marker-maker if she finishes her day with a non-zero inventory. This general, non-martingale framework allows a market-maker to make directional bets on market trends whilst keeping under control her inventory risk. In order to achieve this, the marker-maker places non-symmetric limit orders that favour market orders to hit her bid (resp. ask) quotes if she expects that prices will go up (resp. down). With this inventory-risk-aversion parameter, the market-maker has not only direct control on her inventory risk but she also has indirect control on the moments of her PNL distribution. Therefore, this parameter can be seen as a fine-tuning of the marker-maker's risk-reward profile. In the case of a mean-reverting mid-price, we show numerically that the inventory-risk-aversion parameter gives the market-maker enough room to tailor her risk-reward profile, depending on her risk budgets in inventory and PNL distribution (especially variance, skewness, kurtosis and VaR). For example, when compared to the martingale benchmark, a market can choose to either increase her average PNL by more than 15% and carry a huge risk, on inventory and PNL, or either give up 5% of her benchmark PNL to increase her control on inventory and PNL, as well as increasing her Sharpe ratio by a factor bigger than 2.
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PDF链接：
https://arxiv.org/pdf/1206.4810
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