Qu'est-ce que « Avellaneda–Stoikov model » ?

The Avellaneda–Stoikov model is the market maker’s problem with an arithmetic Brownian mid, exponential fill intensities, a horizon $T$ and an exponential utility of terminal wealth: the market maker chooses $\delta^b_t,\delta^a_t$ to maximise $\E\bigl[-\exp\bigl(-\gamma\,(X_T+q_TS_T)\bigr)\bigr]$, with $\gamma>0$ its risk aversion.