I am reading this paper below about optimal bid-ask spread in a market making strategy. It finds an approximation for optimal solution, but I cannot understand how it's practice to set the parameters for a sample stock (eg. AAPL). Assuming, I have this stock below, how I can find all the parameters for the optimal bid-ask spread?
-> How to set $A$ and $k$, for my example stock? Which is the parameter for the tick size?
Example:
Stock: AAPL
$\sigma = 0.2$
$\mu = 0.01$
$S_t$= 169.23 USD
Tick=0.01 USD
Utility function to maxime
Intensity function
How fast my order (bid/ask) will be filled respect to the mid-price in the market at t
Optimal bid/ask quote (final solution)
page 13
Paper source: Dealing with the Inventory Risk. A solution to the market making problem https://arxiv.org/abs/1105.3115
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