Market making with inventory control and order book information

E. Donatoni, Sandra Paterlini and F. Bazzana

Quantitative Finance, 2022, vol. 22, issue 3, 597-610

Abstract: We introduce a new market making algorithm, the Signal-adaptive (SA) strategy, that takes into account the empirical recurrences of the historical intra-day price series of IPOs and the current risk properties addressed by the market maker. Empirical analysis on IPO high-frequency data allows to compare the performance of the SA strategy with two state-of-art competing strategies, suggesting that the SA strategy could be suitable for the price support activity of the IPO in the first days of its issuance.

Date: 2022
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DOI: 10.1080/14697688.2022.2028888

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