Optimal Market Making Models with Stochastic Volatility

The emergence of high-frequency trading has led to improvements in numerous algorithmic trading strategies. Consequently, there is a growing demand for quantitative analysis and optimization techniques to develop these strategies. We present a paper by Aydoğan et al. (2022), which discusses the derivation of the optimal prices for HFT to execute the limit buy and sell orders where a stochastic volatility model generates the mid prices of the assets in the market.

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