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雷达卡
1 论文标题
High Frequency Trading in a Limit Order Book
2 作者信息
Marco Avellaneda & Sasha Stoikov
3 出处和链接（比如，NBER working paper No.11000）
4 摘要高收益做市策略。
We study a stock dealer’s strategy for submitting bid and ask quotes in a
limit order book. The agent faces an inventory risk due to the diffusive nature of
the stock’s mid-price and a transactions risk due to a Poisson arrival of market
buy and sell orders. After setting up the agent’s problem in a maximal expected
utility framework, we derive the solution in a two step procedure. First, the
dealer computes a personal indifference valuation for the stock, given his current
inventory. Second, he calibrates his bid and ask quotes to the market’s limit
order book. We compare this ”inventory-based” strategy to a ”naive” best
bid/best ask strategy by simulating stock price paths and displaying the P&L
profiles of both strategies. We find that our strategy has a P&L profile that
has both a higher return and lower variance than the benchmark strategy.
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