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Quantitative Finance · Begrippenlijst

Wat is Multi-asset market making?

Definition 4.4 Market Making and High-Frequency Trading · Hoofdstuk 4 — Extensions of the Inventory Framework

Multi-asset market making quotes several instruments from one inventory vector q∈Zdq\in\mathbb Z^d and one risk charge on the whole book, ϕ q⊤Σq\phi\,q^\top\Sigma q per unit of time, with Σ\Sigma the covariance of the instruments’ price changes, so that each quote depends on the inventory of every instrument.

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